EconPapers    
Economics at your fingertips  
 

Macro-factors on gold pricing during the financial crisis

Wei Fan, Sihai Fang and Tao Lu

China Finance Review International, 2014, vol. 4, issue 1, 58-75

Abstract: 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 three parts according to its features. Findings - – Three macro-factors have significant impact on the gold's price. The USDX index is negatively correlated with the gold price, while the CRB index and the US Treasury CDS spreads are positively correlated with the gold price. In particular, it is found that the one-lagged CRB index, one-lagged USDX index, and two-lagged US Treasury CDS spreads have significant impact on the gold price. Research limitations/implications - – The findings in this study suggest a normal case of the gold price. However, in particular cases, new models or new parameters may need to be introduced. Practical implications - – This paper bridges the gap between theory and practice on the gold pricing model. The three-factor model can be used for trading in the field of gold investment. Originality/value - – This paper provides a composite idea for investors and researchers to study the gold price.

Keywords: Financial crisis; Gold; Macro-factors (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:cfripp:v:4:y:2014:i:1:p:58-75

DOI: 10.1108/CFRI-09-2012-0097

Access Statistics for this article

China Finance Review International is currently edited by Professor Chongfeng Wu and Professor Haitao Li

More articles in China Finance Review International from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support (feeds@emerald.com).

 
Page updated 2024-12-30
Handle: RePEc:eme:cfripp:v:4:y:2014:i:1:p:58-75