We examine the relationship between the oil price, prices of precious metals (gold, silver, and
platinum) and the US dollar/British Pound exchange rate using parametric and non-parametric
modelling over a 135-year period. For the parametric model, we employ a two-regime
threshold vector error correction model (TVECM) and find non-linearity and asymmetries in
the long-term relationship between the oil-gold price and oil-silver price pairs during the
‘typical regime’, in which the majority of observations lie. Non-linear Granger causality
suggests evidence of bidirectional and unidirectional causality. For the non-parametric model,
we employ Local Linear (LL) non-parametric regression to relax the assumptions regarding
functional form. The relationship between the oil price and each of the precious metal prices
and the exchange rate exhibit non-linearities. The relationship between precious metal prices
and the oil price is positive and generally increasing over time, while the LL estimates for the
exchange rate are negative and then positive and highly non-linear.