Causality Direction and Correlation Dynamics between Oil and Gold Prices in the Global Market: A VAR Model and Crisis Subperiods Approach

This study employs annual data (1900–2023) and monthly data (1974–2025), utilizing the Vector Autoregressive (VAR) model and Granger causality test to evaluate the interrelationships and causality direction between oil and gold prices in the global market. To obtain a more precise picture of the dynamics of this relationship, the monthly period is divided into eight distinct subperiods, including major crisis episodes, such as the 2008 financial crisis, the COVID-19 pandemic, the Russia–Ukraine war, and the first Trump administration, as well as the last quarter of the twentieth century and the first quarter of the twenty-first century. Optimal lag selection and descriptive statistical analyses were conducted for each subperiod to minimize estimation errors and enhance the accuracy of results. Furthermore, to examine the long-term responses of variables to each other’s shocks, impulse response functions derived from the VAR model were employed. The findings indicate that the causal relationship between oil and gold prices in the short run is highly dependent on the time period, data type, and market conditions. Specifically, in some subperiods, a unidirectional causality from gold to oil or from oil to gold is observed, whereas in other periods no significant causal relationship is confirmed. In the long run, statistical evidence suggests that shocks in one of these markets cannot sustainably and significantly influence the price behavior of the other.