  This paper analyzes the direction of the causality between crude oil, gold
and stock markets for the largest economy in the world with respect to such
markets, the US. To do so, we apply non-linear Granger causality tests. We find
a nonlinear causal relationship among the three markets considered, with the
causality going in all directions, when the full sample and different
subsamples are considered. However, we find a unidirectional nonlinear causal
relationship between the crude oil and gold market (with the causality only
going from oil price changes to gold price changes) when the subsample runs
from the first date of any year between the mid-1990s and 2001 to last
available data (February 5, 2015). The latter result may explain the lack of
consensus existing in the literature about the direction of the causal link
between the crude oil and gold markets.
