As a special commodity, gold possesses multiple features: as commodity, currency and hedging instrument. Its currency and hedging features are well manifested during the first stage of this financial crisis since 2007. However, the hedging feature of gold was hardly discussed before. The above...

In this paper, we derive a structural relationship between the gold price and the U.S. TIPS (Treasury Inflation-Protected Securities) yields under the fact that both the gold and the U.S. dollar are international currency anchors. The relationship can be interpreted as defining the fair value...

In this paper, gold is investigated as a super- sovereign zero- coupon bond. A structural relationship between the gold and the observed yields on long maturity inflation indexed bonds is derived under the assumption that the gold price reflects the long run inflation level. This relationship...

In this paper, the global financial crisis which began in 2007 is divided into four stages by the switching of the leverages between financial system and governments. Gold, as one of the most important reverse calibration variables for global macro cycles, has switched its pricing models four...

Purpose– This study aims to propose the idea of which macro-factors and how the macro-factors impact on the gold price. Design/methodology/approach– An EGARCH model is applied to test the volatility of gold price. A VAR method is applied to validate the idea by decomposing gold's value into...

Purpose – This study aims to propose the idea of which macro-factors and how the macro-factors impact on the gold price. Design/methodology/approach – An EGARCH model is applied to test the volatility of gold price. A VAR method is applied to validate the idea by decomposing gold's value...