Deviations between China’s and international gold price: role of fundamentals, contagion and financial shocks

Junwei Wang, Zhicheng Liang and Kin Keung Lai

Applied Economics, 2020, vol. 52, issue 3, 305-316

Abstract: China has been the world’s largest gold producer since 2007 and the world’s largest gold consumer since 2013. However, despite it being the second largest exchange-traded market in the world, gold price shows persistent volatility and deviations from the international gold price. This study explores the impact of fundamentals, global contagion and financial shocks on the gap between international and domestic gold price using an extended GARCH model. The empirical study shows that the exchange rate of renminbi plays an important role in moving the price gap. The global contagion factors associate more with the level of the price gap, not with the volatility; policy shocks do not present expected significant influence on the price gap. For black swan events, their impact on both level and volatility of the price gap is discernible.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2019.1645279 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:52:y:2020:i:3:p:305-316

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2019.1645279

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().