A Gold Bubble?

Dirk Baur () and Kristoffer Glover

No 175, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: In this paper we use a test developed by Phillips et al. (2011) to identify a bubble in the gold market. We find that the price of gold followed an explosive price process between 2002 and 2012 interrupted only briefly by the subprime crisis in 2008. We also provide a theoretical foundation for such bubble tests based on a behavioural model of heterogeneous agents and demonstrate that periods of explosive price behaviour are consistent with increased chartist activity in the gold market. The identification strategy yields economically intuitive results and is a simple alternative to using more complex estimation techniques commonly used in the heterogeneous agents literature.

Keywords: bubble; gold; investor behaviour; explosive process; heterogeneous agents; chartists (search for similar items in EconPapers)
JEL-codes: C22 C51 G02 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2012-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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