Forecasting the price of gold: An error correction approach

Kausik Gangopadhyay, Abhishek Jangir and Rudra Sensarma

MPRA Paper from University Library of Munich, Germany

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; inflation hedge. (search for similar items in EconPapers)
JEL-codes: C55 G11 (search for similar items in EconPapers)
Date: 2015-02
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Citations: View citations in EconPapers (4)

Published in IIMB Management Review 1.28(2016): pp. 6-12

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Related works:
Working Paper: Forecasting the price of gold: An error correction approach (2014)
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