Forecasting the price of gold: An error correction approach

Kausik Gangopadhyay, Abhishek Jangir () and Rudra Sensarma
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Abhishek Jangir: NAV Capital LLP, Mumbai

No 155, Working papers from Indian Institute of Management Kozhikode

Abstract: Gold prices in Indian market may be influenced by a multitude of factors such as investment decision, inflation hedge and consumption motives. Gold prices are modelled using a vector error correction model. We identify investment decision and inflation hedge as prime movers of the data. We also present out-of-sample forecasts of our model and the related properties.

Keywords: Gold price; cointegration; vector error correction model; hedge. (search for similar items in EconPapers)
Pages: 15 pages
Date: 2014
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Working Paper: Forecasting the price of gold: An error correction approach (2015)
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