Test to check for Reverse Causality
| Gold | Crude Oil | |||||
|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) |
| Panel A | ||||||
| Intercept | 362.61 (10.76) | 349.77 (14.31) | 108.83 (16.66) | 259.79 (3.54) | 256.52 (3.52) | –20.55 (–1.70) |
| S&P 500 index | –0.03 (–0.28) | –0.07 (–0.98) | 0.02 (0.18) | 0.25 (1.27) | –0.38 (–1.36) | –0.22 (–1.02) |
| Panel B | ||||||
| Intercept | 360.75 (13.84) | 349.58 (13.40) | 101.86 (15.59) | 281.38 (3.91) | 288.25 (4.14) | –27.40 (–2.19) |
| S&P 500 Index (1-wk lag) | –0.01 (–0.11) | –0.46*** (–4.26) | 0.15 (1.38) | 0.18 (0.83) | –0.54* (–1.95) | –0.07 (–0.34) |
| Gold | Crude Oil | |||||
|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) |
| Intercept | 362.61 (10.76) | 349.77 (14.31) | 108.83 (16.66) | 259.79 (3.54) | 256.52 (3.52) | –20.55 (–1.70) |
| S&P 500 index | –0.03 (–0.28) | –0.07 (–0.98) | 0.02 (0.18) | 0.25 (1.27) | –0.38 (–1.36) | –0.22 (–1.02) |
| Intercept | 360.75 (13.84) | 349.58 (13.40) | 101.86 (15.59) | 281.38 (3.91) | 288.25 (4.14) | –27.40 (–2.19) |
| S&P 500 Index | –0.01 (–0.11) | –0.46*** (–4.26) | 0.15 (1.38) | 0.18 (0.83) | –0.54* (–1.95) | –0.07 (–0.34) |
Note(s): *** indicates significance at 1% level; ** indicates significance at 5% level; * indicates significance at 10% level. Variables with moderate-to-severe multicollinearity (VIF >10) are avoided in each model. Controls and Fixed Effects are included in each model but not reported. The sample period is the weekly observations from Jan’2020 to Mar’2022. T-statistics values are in parentheses
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