We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are … SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function … consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also …

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …

competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

It is well known that US dollar gold prices are negatively related to the value of the US dollar and that gold prices … and what is its cause? This paper provides new evidence on the strength of the negative gold-currency association. For … example, a one percent increase in the US dollar leads to a one percent decrease in the US dollar gold price and this …

The aim of this study is to investigate the relationships between the stock exchange, gold, and foreign exchange … returns in Turkey. The monthly data of the Istanbul Stock Exchange (ISE), foreign exchange and gold prices for the period 1990 …

error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the … existing literature has never considered that the foreign exchange risk hedged by gold is dynamic, this study can fill the … research gap in this area. The empirical results show that: First, gold can partly hedge against the depreciation of the …

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

in forecasting from using bivariate models remained small otherwise. …