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Changes of gold prices in COVID-19 pandemic: Daily evidence from Turkey's monetary policy measures with selected determinants

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  • Depren, Özer
  • Kartal, Mustafa Tevfik
  • Kılıç Depren, Serpil

Abstract

The study examines the impacts of monetary policy measures on the gold prices in Turkey by using daily data between January 2, 2020 and August 04, 2020 so that reactions of gold prices to the COVID-19 pandemic can be defined. In this context, the effects of 11 (including 3 global, 3 national, 3 monetary policy, 2 COVID-19) determinants on gold prices are examined by adopting machine learning algorithms. The empirical results reveal that (i) the most significant determinant of gold prices is the foreign exchange rate in the pre-pandemic period whereas securities amount bought by the central bank is important in the pandemic period; (ii) the number of confirmed cases and deaths have an important and intermediate effect on gold prices in the pandemic period; (iii) monetary policy measures are important for gold prices; (iv) global factors have a relatively high impact in both periods.

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  • Depren, Özer & Kartal, Mustafa Tevfik & Kılıç Depren, Serpil, 2021. "Changes of gold prices in COVID-19 pandemic: Daily evidence from Turkey's monetary policy measures with selected determinants," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    • Handle: RePEc:eee:tefoso:v:170:y:2021:i:c:s0040162521003164
    DOI: 10.1016/j.techfore.2021.120884
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    Cited by:

    1. Mustafa Tevfik KARTAL & Özer DEPREN & Serpil KILIC DEPREN, 2021. "Do Monetary Policy Measures Affect Foreign Exchange Rates during the COVID-19 Pandemic? Evidence from Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 15(2), pages 175-202.
    2. Hasan Murat Ertuğrul & Mustafa Tevfik Kartal & Serpil Kılıç Depren & Uğur Soytaş, 2022. "Determinants of Electricity Prices in Turkey: An Application of Machine Learning and Time Series Models," Energies, MDPI, vol. 15(20), pages 1-17, October.
    3. Kılıç Depren, Serpil & Kartal, Mustafa Tevfik & Ertuğrul, Hasan Murat & Depren, Özer, 2022. "The role of data frequency and method selection in electricity price estimation: Comparative evidence from Turkey in pre-pandemic and pandemic periods," Renewable Energy, Elsevier, vol. 186(C), pages 217-225.
    4. Zhang, Hongwei & Hong, Huojun & Guo, Yaoqi & Yang, Cai, 2022. "Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 267-285.

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    More about this item

    Keywords

    COVID-19 pandemic; Gold prices; Machine learning; Monetary policy; Turkey;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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