Can gold prices forecast the Australian dollar movements?
This paper explores whether gold prices have a reliable out-of-sample relationship with the Australian dollar/US dollar nominal and real exchange rates using daily and quarterly data, respectively, spanning the period 2000–2012. Through an Error Correction Model (ECM), the empirical findings suggest...
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| Format: | Journal Article |
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Elsever
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/4847 |
| _version_ | 1848744631308648448 |
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| author | Apergis, Nicholas |
| author_facet | Apergis, Nicholas |
| author_sort | Apergis, Nicholas |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper explores whether gold prices have a reliable out-of-sample relationship with the Australian dollar/US dollar nominal and real exchange rates using daily and quarterly data, respectively, spanning the period 2000–2012. Through an Error Correction Model (ECM), the empirical findings suggest that the out-of-sample predictive ability is strong and robust across short- and long-run horizons. The results could offer informational availability for monetary policymakers, hedge fund managers and international portfolio managers. They also provide additional support to the hypothesis that both markets are driven by the same information sets. |
| first_indexed | 2025-11-14T06:04:32Z |
| format | Journal Article |
| id | curtin-20.500.11937-4847 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:04:32Z |
| publishDate | 2014 |
| publisher | Elsever |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-48472019-02-19T04:26:59Z Can gold prices forecast the Australian dollar movements? Apergis, Nicholas Error Correction Model Australian dollar/US dollar exchange rate Predictive ability Gold prices This paper explores whether gold prices have a reliable out-of-sample relationship with the Australian dollar/US dollar nominal and real exchange rates using daily and quarterly data, respectively, spanning the period 2000–2012. Through an Error Correction Model (ECM), the empirical findings suggest that the out-of-sample predictive ability is strong and robust across short- and long-run horizons. The results could offer informational availability for monetary policymakers, hedge fund managers and international portfolio managers. They also provide additional support to the hypothesis that both markets are driven by the same information sets. 2014 Journal Article http://hdl.handle.net/20.500.11937/4847 10.1016/j.iref.2013.04.004 Elsever fulltext |
| spellingShingle | Error Correction Model Australian dollar/US dollar exchange rate Predictive ability Gold prices Apergis, Nicholas Can gold prices forecast the Australian dollar movements? |
| title | Can gold prices forecast the Australian dollar movements? |
| title_full | Can gold prices forecast the Australian dollar movements? |
| title_fullStr | Can gold prices forecast the Australian dollar movements? |
| title_full_unstemmed | Can gold prices forecast the Australian dollar movements? |
| title_short | Can gold prices forecast the Australian dollar movements? |
| title_sort | can gold prices forecast the australian dollar movements? |
| topic | Error Correction Model Australian dollar/US dollar exchange rate Predictive ability Gold prices |
| url | http://hdl.handle.net/20.500.11937/4847 |