Roling-window bounds testing approach to analyze the relationship between oil prices and metal prices

• The absence of cointegration is confirmed. • Although, oil prices and steel prices are integrated from 2003M12 to 2014M12. • At larger rolling windows of 10, 15 and 20 years, oil prices and gold prices do not have cointegration. • However, steel, silver, and platinum have a long-run relationship with oil prices in different periods. This paper is to find how the existence of a long-run relationship between oil prices and metals prices evolved for the time from January 1979 to December 2017. The rolling-window autoregressive lag modeling (RARDL) testing approach of cointegration has been introduced and applied to assess the long-run relationship considering four rolling windows of 5, 10, 15, and 20 years. The empirical evidence concludes that for a small rolling window of 5 years, there is no evidence of the long-run relationship between oil prices and metals prices, i.e. gold, platinum, and silver. However, there is a long-run relationship between oil prices and steel prices from December 2003 to December 2014. At larger rolling windows of 10, 15 and 20 years, oil prices and gold prices are not cointegrated; however, steel, silver, and platinum have a long-run relationship with oil prices in different periods.