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Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model

Author

Listed:
  • Toraman, Cengiz

    (Balikesir University)

  • Basarir, Cagatay

    (Balikesir University)

  • Bayramoglu, Mehmet Fatih

    (Dogus University Vocational School)

Abstract

Recently, increase of the gold prices attracts interest again together with the affects of the latest financial crisis. Main objective of this study is to determine factors affecting the gold prices. The study includes montly data between June, 1992 and March, 2010. Oil prices, USA exchange rate, USA inflation rate, USA real interest rate data are included in the model as variables. According to emprical findings, highest correlation is found between gold prices and USA exchange rate negatively. Secondly, a positive correlation is found between gold prices and oil prices.

Suggested Citation

  • Toraman, Cengiz & Basarir, Cagatay & Bayramoglu, Mehmet Fatih, 2011. "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 2(4), pages 1-37, October.
    • Handle: RePEc:ris:buecrj:0063
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    Citations

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    Cited by:

    1. Chiang, Thomas C., 2022. "The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices," Resources Policy, Elsevier, vol. 76(C).
    2. S. Maria Immanuvel & D. Lazar, 2021. "Elasticities of Gold Demand—An Empirical Analysis Using Cointegration and Error Correction Model," Arthaniti: Journal of Economic Theory and Practice, , vol. 20(2), pages 131-142, December.
    3. Subrata Roy, 2020. "Gold & Stock Relation: Investors’ Reaction During Covid-19 Outbreak," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 26, pages 29-52, December.
    4. Mai, Nhat Chi, 2013. "Determinants of the gold price in Vietnam," OSF Preprints pv8dz, Center for Open Science.
    5. Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013. "Gold price movements in selected currencies: wavelet approach," MPRA Paper 62347, University Library of Munich, Germany.
    6. , Le Thi Son & Chi, Trinh Thuy & Anh, Nguyen Thi Nguyet, 2013. "Determinants of the gold price in Vietnam," OSF Preprints 85dqp, Center for Open Science.
    7. Muhammad Mansoor Baig & Muhammad Shahbaz & Muhammad Imran & Mehwish Jabbar & Qurat Ul Ain, 2013. "Relationship between Gold and Oil Prices and Stock Market Returns," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 28-39, October.
    8. Siddiqi, Umema, 2021. "Estimating Long-Run Cointegration between Gold Prices and its Determinants," MPRA Paper 103182, University Library of Munich, Germany.
    9. Sadaf Zafar & Attiya Yasmin Javid, 2015. "Evaluation of Gold Investment as an Inflationary Hedge in Case of Pakistan," PIDE-Working Papers 2015:118, Pakistan Institute of Development Economics.
    10. Ali K k olak & Figen B y kak n & Necla Ilter Kucukcolak, 2019. "Cointegration of Equity and Gold Markets: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 32-40.
    11. Wajdi Moussa & Nidhal Mgadmi & Rym Regaieg & Azza Bejaoui, 2021. "The relationship between gold price and the American financial market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6149-6155, October.
    12. Izabela Pruchnicka-Grabias, 2021. "The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 276-282.
    13. Roman Grynberg & Teresa Kaulihowa & Fwasa K Singogo, 2019. "Structural Changes of the 21st Century and their Impact on the Gold Price," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 72-83.
    14. Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013. "An application of MGARCH-DCC analysis on selected currencies in terms of gold Price," MPRA Paper 62349, University Library of Munich, Germany.
    15. Salleh, Eddee & Masih, Mansur, 2017. "Does gold act as an inflation hedge ? Malaysian case," MPRA Paper 111749, University Library of Munich, Germany.
    16. Amare Wubishet Ayele & Emmanuel Gabreyohannes & Yohannes Yebabe Tesfay, 2017. "Macroeconomic Determinants of Volatility for the Gold Price in Ethiopia: The Application of GARCH and EWMA Volatility Models," Global Business Review, International Management Institute, vol. 18(2), pages 308-326, April.
    17. Srinivasan P., 2014. "Gold Price, Stock Price and Exchange rate Nexus: The Case of India," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(52), pages 77-94, June.
    18. ROY Subrata, 2020. "Gold & Stock Relation: Investors Reaction During Covid-19 Outbreak," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 72(3), pages 103-126, November.

    More about this item

    Keywords

    Gold Prices; Dow Jones Index; Oil Prices; MGARCH Model; CCC Model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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