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

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.

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Year of publication:	2011
Authors:	Toraman, Cengiz ; Basarir, Cagatay ; Bayramoglu, Mehmet Fatih
Published in:	Business and Economics Research Journal. - İktisadi ve İdari Bilimler Fakültesi, ISSN 1309-2448. - Vol. 2.2011, 4, 50, p. 37-37
Publisher:	İktisadi ve İdari Bilimler Fakültesi
Subject:	Gold Prices \| Dow Jones Index \| Oil Prices \| MGARCH Model \| CCC Model

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010840091