An update to the comovements of commodity, equity and USD

The current financial crisis has large impact on market structure. This research focused on the dynamic comovements among four assets: 1 month gold futures, 1 month Brent crude oil futures, USD Index and S&P500 Index. The study further examines causalities among assets using the linear Granger causality test and the nonlinear Granger causality test, and the effect of shocks on the assets price movements using the Safe Haven Analysis. As results, we found differences in the dynamic comovements among assets before and during the current financial crisis. Further using the findings of the analysis, new models are constructed. The predictions of our models, using three different methods: stable coefficients, moving window, and expanding window methods, are compared with two benchmark models. We further compute CPS, MAE and MSPE to compare the predictions. As results, our models provide outstanding accurate predictions and the predictions are most accurate using the moving window method.