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Determinants of gold price movements: An empirical investigation in the presence of multiple structural breaks

Themba Chirwa () and Nicholas Odhiambo ()

Resources Policy, 2020, vol. 69, issue C

Abstract: This study investigates the short- and long-run determinants of gold price movements in financial markets by taking into account multiple structural breakpoints using an ARDL-based error correction approach. The study used daily time series data from December 19, 2018 to May 15, 2020. The key variables used include international stocks and bond funds that are frequently traded on stock exchanges around the world. The results, based on the fourth breakpoint regime, reveal a significant positive relationship between gold price movements and LSE, Nikkei stocks, T.Rowe global multi-sector bond funds, and CBOE volatility index; and a significant negative association with Gmo emerging country debt and Pimco emerging markets local currency bond funds both in the short- and long-run. Other stocks, like NASDAQ, DJI, S&P500, only revealed negative short-run relationships; except for NYSE that was found to have a positive short-run association with gold price movements. Conversely, Goldman Sachs bonds revealed a significant positive long-run relationship with gold price movements. These results have significant policy implications for gold producers and investors, as both stocks and bonds are an important source of information in the determination of gold price movements both in the short- and long-run.

Keywords: Gold prices; Cryptocurrencies; Stocks; Bonds; ARDL; Cointegration (search for similar items in EconPapers)
JEL-codes: E31 L16 D53 E44 G15 Q02 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308503

DOI: 10.1016/j.resourpol.2020.101818

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