Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test

Raza Syed Ali, Shah Nida, Ali Muhammad and Muhammad Shahbaz
Additional contact information
Raza Syed Ali: Iqra University Karachi, Pakistan.
Shah Nida: Iqra University Karachi, Pakistan.
Ali Muhammad: Department of Accounting & Finance, Institute of Business Management Karachi.

Zagreb International Review of Economics and Business, 2021, vol. 24, issue 2, 37-57

Abstract: In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange. The gold and exchange rate nexus become prominent after events like sovereign debt crisis, subprime mortgage crisis, low-interest rate problem, and global financial market solvency. These events attract the attention of researchers and academician for investigating the dynamics of the relationship between gold and exchange rates, and the majority of the studies discusses the linear dynamics, but the non-linear dynamics are ignored. Therefore, the current research investigates the non-linear dynamics of gold price and exchange rate relationship in G7 countries using the new technique named the nonparametric causality approach. This study uses monthly data from the years 1995(January)-2017 (March). The empirical results show that exchange rate return causes gold prices in four out of G7, especially at the low tails. This study also gives valuable insights for monetary policymakers, gold exporter’s international portfolio managers, and hedge fund managers.

Keywords: Gold Prices; Exchange Rates; Non-Parametric Causality Approach; G7 Countries (search for similar items in EconPapers)
JEL-codes: C58 D49 D53 F51 G1 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/zireb-2021-0010 (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:vrs:zirebs:v:24:y:2021:i:2:p:37-57:n:1003

DOI: 10.2478/zireb-2021-0010

Access Statistics for this article

Zagreb International Review of Economics and Business is currently edited by Jurica Šimurina

More articles in Zagreb International Review of Economics and Business from Sciendo
Bibliographic data for series maintained by Peter Golla ().