Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy

Christian Pierdzioch, Marian Risse and Sebastian Rohloff
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Sebastian Rohloff: Helmut Schmidt University

Empirical Economics, 2016, vol. 51, issue 4, No 9, 1499 pages

Abstract: Abstract Economic theory predicts that, in a small open economy, the dynamics of the real price of a commodity should be linked to a large-country real interest rate and fluctuations of the real exchange rate. Using data for Australia, we test this prediction using an out-of-sample forecasting experiment. We evaluate the economic value-added of out-of-sample forecasts by means of a behavioral approach that takes into account that a forecaster may have an asymmetric loss function.

Keywords: Gold price; Forecasting; Real exchange rate; Real interest rate; Behavioral approach (search for similar items in EconPapers)
JEL-codes: C53 E44 G02 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (11)

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Working Paper: Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy (2014)
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DOI: 10.1007/s00181-015-1053-5

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