Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach
نویسندگان
چکیده
The present study used transfer entropy and effective to examine the asymmetric information flow between exchange rates, oil, gold. dataset is composed of daily data covering period 1 January 2018 31 December 2021. Further, bifurcated for analysis before during COVID. bidirectional observed EUR/USD Oil whole unlike However, COVID, there was a unidirectional from Oil→EUR/USD. finds significant Gold→EUR/USD. estimates also indicate that direction Oil→Gold. reversed COVID Gold→Oil. Overall, among these three variables asymmetric. highest Gold→EUR/USD all pairs under consideration.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm16010002