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

Cengiz Toraman (), Cagatay Basarir and Mehmet Fatih Bayramoglu
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Cengiz Toraman: Balikesir University
Cagatay Basarir: Balikesir University
Mehmet Fatih Bayramoglu: Dogus University Vocational School

Business and Economics Research Journal, 2011, vol. 2, issue 4, 37

Abstract: 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.

Keywords: Gold Prices; Dow Jones Index; Oil Prices; MGARCH Model; CCC Model (search for similar items in EconPapers)
JEL-codes: C22 E31 G12 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:buecrj:0063

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