Quantitative Analysis of Gold Prices and its Influencing Factors

Lekarski, Fryderyk (2013) Quantitative Analysis of Gold Prices and its Influencing Factors. [Dissertation (University of Nottingham only)] (Unpublished)

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This paper examines the theoretical and empirical relationship between the gold price and five variables, namely, S&P 500 index, CPI, VXO, US dollar index and crude oil price using the vector error correction model (VECM) and the vector autoregressive model (VAR) for two time periods, 1986-1999 and 2000-2012 respectively.

The Johansen Multivariate Approach finds evidence of the existence of cointegration for the 1986-1999 period. The cointegrating equation found, indicates that gold price, VXO, crude oil, inflation and dollar index all have a long-run relationship with each other. The Johansen Approach failed to find the existence of cointegration for the 2000-2012 period. This lack of a cointegrating equation for the second period demonstrates that long-term relationships may change or disappear over time, potentially as a result of structural breaks, such as the 2007-2008 financial crisis.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 04 Mar 2014 14:54
Last Modified: 19 Oct 2017 14:17
URI: http://eprints.nottingham.ac.uk/id/eprint/26614

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