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Historical Events and the Gold Price

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  • Shubhasis Dey

    (Indian Institute of Management Kozhikode)

Abstract

Gold prices are quick to respond to world events. However, some of these events stand out, in the sense that they have had significant influence on the conditional mean and volatility of gold prices. In this paper, we have taken 30 historical events ranging from the suspension of dollar’s convertibility into gold in August 1971 to the end of the Quantitative Easing in the US in October 2014 and studied their impact on real gold prices. We find that the US economy and the current dollar-based monetary system is still the main driver of real gold prices. Our empirical exercise in this paper finds that the mean and variance of real gold prices have experienced significant changes primarily when the historical events in question either reinforced or challenged the economic dominance of the US and the role of dollar in the global monetary system.

Suggested Citation

  • Shubhasis Dey, 2016. "Historical Events and the Gold Price," Working papers 198, Indian Institute of Management Kozhikode.
    • Handle: RePEc:iik:wpaper:198
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    References listed on IDEAS

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    Cited by:

    1. Dariusz Eligiusz Staszczak, 2021. "Fall of the Global Gold Exchange Standard and the Formation of the Contemporary Free Gold Market," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 341-347.
    2. Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020. "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers 2020-484, Departamento de Economía - Pontificia Universidad Católica del Perú.

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    More about this item

    Keywords

    Gold prices; historical events; hedge; safe haven;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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