Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy

Sebastian Rohloff, Christian Pierdzioch and Marian Risse

VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real interest rates and the rate of change of the real exchange rate. Using data for Australia, we use a real-time forecasting approach to analyze whether real interest rates and the rate of change of the real exchange rate help to forecast out-ofsample the rate of change of the real price of gold. We study the economic value-added of out-of-sample forecasts using a behavioral-finance approach that takes into account that a forecaster may have an asymmetric loss function.

JEL-codes: C53 E44 G12 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-opm
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc14:100429

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