On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test
Mehmet Balcilar (),
Rangan Gupta () and
No 201598, Working Papers from University of Pretoria, Department of Economics
The links between exchange-rate movements and gold-price fluctuations has 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. Using 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 the returns and the volatility of exchange rates. While exchange-rate movements predict 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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Journal Article: On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201598
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