Modeling and Forecasting Gold Prices

Richmond Sam Quarm, Mohamed Osman Elamin Busharads and Asian Institute of Research

No u5mz6, OSF Preprints from Center for Open Science

Abstract: The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.

Date: 2020-12-26
New Economics Papers: this item is included in nep-cwa, nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:u5mz6

DOI: 10.31219/osf.io/u5mz6

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