EconPapers    
Economics at your fingertips  
 

Half Century of Gold Price: Regime-Switching and Forecasting Framework

Nguyen Bao Anh and Yiqiang Q. Zhao

International Journal of Financial Research, 2021, vol. 12, issue 3, 1-18

Abstract: This paper studies the history of gold price in the international context using Markov-switching models. The literature surrounding the Markov-switching model is reviewed from the earliest iterations of Hamilton to recent developments. We show applicability of Markov stochastic process in forecasting commodity prices; in particular, the gold spot price. The research imposes the features of Markov regime-switching models, considering gold as a financial asset to offer a comprehensive methodology for forecasting commodity price. The paper discovers that applying Markov regime-switching could significantly improve the forecast abilities in commodity prices. Analysis of the model outcome indicates that the abnormal increases of gold price in history always resulted from special economic conditions. This study makes a novel contribution to the field by demonstrating that the impact of CPI change to gold price is subject to the regimes, which is more sophisticated than what has been commonly accepted in economics literature to date.

Keywords: Markov-switching model; gold price; MS auto-regression; regime-switching (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciedu.ca/journal/index.php/ijfr/article/view/19121/12197 (application/pdf)
http://www.sciedu.ca/journal/index.php/ijfr/article/view/19121 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:12:y:2021:i:3:p:1-18

DOI: 10.5430/ijfr.v12n3p1

Access Statistics for this article

International Journal of Financial Research is currently edited by Gina Perry

More articles in International Journal of Financial Research from International Journal of Financial Research, Sciedu Press
Bibliographic data for series maintained by Gina Perry ().

 
Page updated 2021-06-26
Handle: RePEc:jfr:ijfr11:v:12:y:2021:i:3:p:1-18