Global Determinants of the Gold Price: A Multivariate Cointegration Analysis

Michael Murach

Scottish Journal of Political Economy, 2019, vol. 66, issue 1, 198-214

Abstract: The present paper follows publications which have investigated the influence of global liquidity developments on commodity prices and asset price indices. It contributes to the literature by analyzing how global developments in money, output, and inflation can be related to developments in gold prices in a long‐run perspective. Applying a multivariate cointegration (CVAR) analysis, this study investigates long‐run relationships between these variables. The results suggest a significant influence of excess global liquidity on real gold prices and a co‐movement of real gold prices and global inflation.

Date: 2019
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https://doi.org/10.1111/sjpe.12190

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