On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test
Rangan Gupta and
International Economics and Economic Policy, 2017, vol. 14, issue 4, No 8, 700 pages
Abstract The links between exchange-rate movements and gold-price fluctuations have been extensively studied in earlier research using various econometric techniques. Our contribution to this research is that we apply a novel nonparametric causality-in-quantiles test to study the causal links between exchange-rate movements and gold-price fluctuations. We use daily data for the sample period 1994–2015 for major gold-producing countries to illustrate the novel test. We find that, for the majority of countries, gold-price fluctuations help to predict in sample the returns and the volatility of exchange rates. While exchange-rate movements predict in sample gold volatility, they do not predict gold returns.
Keywords: Gold price; Exchange rates; Causality test; Gold-producing countries (search for similar items in EconPapers)
JEL-codes: C32 C53 F31 Q02 (search for similar items in EconPapers)
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Working Paper: On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test (2015)
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