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 Christian Pierdzioch

No 201598, Working Papers from University of Pretoria, Department of Economics

Abstract: 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)
Pages: 10pages
Date: 2015-12
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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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