Gold price: Long-run and short-run determinants
Dinh, Trung Duc (2010) Gold price: Long-run and short-run determinants. [Dissertation (University of Nottingham only)] (Unpublished)
This dissertation aims to examine the long-run and short-run relationships between gold price and its determinants. Monthly data and OLS regression techniques are used to develop two empirical models, one for long-run relationships and one for short-run relationships. We find that in the long-run, gold price is fairly stable and raises in line with US general price level. However the relationship is not a one-for-one relationship. Thus gold is not an effective hedge against US inflation. In addition, we find that short-run changes in the dollar/world exchange rate can disturb the long-run relationship and generate short-run price volatility.
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