Interplay of the Dollar, Gold and Oil

What is the interplay among exchange-traded fund (ETF) proxies for the U.S. dollar, gold and crude oil? Do changes in the value of the dollar lead or lag those in hard assets? To investigate, we relate returns of Invesco DB US Dollar Index Bullish Fund (UUP) to those for each of:

1. SPDR Gold Shares (GLD).
2. United States Oil Fund, LP (USO).
3. Invesco DB Commodity Index Tracking Fund (DBC), as a broader hard asset proxy for comparison.

We look at contemporaneous and lead-lag relationships. Using monthly dividend-adjusted prices for these funds during March 2007 (limited by UUP) through February 2026, we find that: (more…)