IDEAS home Printed from https://ideas.repec.org/a/aka/aoecon/v64y2014i1p91-101.html
   My bibliography  Save this article

The price of gold and the exchange rate: Evidence from threshold cointegration and threshold granger causality analyses for Turkey

Author

Listed:
  • Burak Gürış

    () (Istanbul University Department of Econometrics, Faculty of Economics, Istanbul, Turkey)

  • Burcu Kiran

    () (Istanbul University Department of Econometrics, Faculty of Economics, Istanbul, Turkey)

Abstract

This paper explores the relationship between gold prices and the US dollar/Turkish lira exchange rate between 1990–2011 by using cointegration and Granger causality analyses. The empirical findings indicate that there is a threshold cointegration relationship between the two variables. The threshold value obtained from the estimation of threshold vector error correction model equals −3.268. The Granger test indicates that there is evidence of a bi-directional causal relationship between gold prices and the exchange rate, except when the threshold parameter exceeds the threshold value in the exchange rate equation. According to these findings, gold price can be used as a hedge against the exchange rate. However, since this relationship disappears above the threshold value, gold is only a weak hedge against exchange rate fluctuations.

Suggested Citation

  • Burak Gürış & Burcu Kiran, 2014. "The price of gold and the exchange rate: Evidence from threshold cointegration and threshold granger causality analyses for Turkey," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 64(1), pages 91-101, March.
  • Handle: RePEc:aka:aoecon:v:64:y:2014:i:1:p:91-101
    as

    Download full text from publisher

    File URL: http://akademiai.com/content/f025n4r1200n0822/fulltext.pdf
    Download Restriction: subscription

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:eee:eneeco:v:71:y:2018:i:c:p:273-281 is not listed on IDEAS
    2. repec:eee:jrpoli:v:52:y:2017:i:c:p:358-365 is not listed on IDEAS

    More about this item

    Keywords

    threshold cointegration; threshold vector error correction model; threshold Granger causality; gold price; exchange rate; Turkey;

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • E0 - Macroeconomics and Monetary Economics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aka:aoecon:v:64:y:2014:i:1:p:91-101. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vajda, Lőrinc). General contact details of provider: http://www.akkrt.hu .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.