Abstract:

The aim of this study is to establish causality relations between gold, oil, foreign exchange rate, interest and volatility index (VIX), which is called fear index. For this purpose, the 02 January 2008 – 10 May 2017 period workday data of gold prices, American crude oil (WTI) prices, EUR / USD parity, US Treasury 10-year benchmark bond interest rates and VIX index variables are used. In the econometric analysis, the Augmented Dickey Fuller unit root test and the Granger Causality Test have been applied and the relationship between the variables has been interpreted. According to the analysis results; it is concluded that there is a one way causality relationship from gold to oil, from gold to EUR / USD parity, from gold to US Treasury 10-year benchmark bond interest rates, and two-way causality relationship between US Treasury 10-year benchmark bond rates and VIX index, between EUR / USD parity and VIX index

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