Gold price: Long-run and short-run determinants
This dissertation aims to examine the long-run and short-run relationships between gold price and its determinants. Monthly data and OLS regression techniques are used to develop two empirical models, one for long-run relationships and one for short-run relationships. We find that in the long-run, g...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/24028/ |
| _version_ | 1848792685785120768 |
|---|---|
| author | Dinh, Trung Duc |
| author_facet | Dinh, Trung Duc |
| author_sort | Dinh, Trung Duc |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This dissertation aims to examine the long-run and short-run relationships between gold price and its determinants. Monthly data and OLS regression techniques are used to develop two empirical models, one for long-run relationships and one for short-run relationships. We find that in the long-run, gold price is fairly stable and raises in line with US general price level. However the relationship is not a one-for-one relationship. Thus gold is not an effective hedge against US inflation. In addition, we find that short-run changes in the dollar/world exchange rate can disturb the long-run relationship and generate short-run price volatility.
This paper also investigates the effects of one of the biggest financial crisis, namely sub-prime crisis, on the long-run as well as short-run relationships. It is the first attempt to do it. We find that under the effects of the crisis, the positive long-run relationship between gold price and US general price level is still kept. But the relationship becomes closely a one-for-one relationship. Thus gold is more effective in hedging against US inflation. Furthermore, we find that the short-run relationships generally are affected substantially by the crisis, except the negative relationship between dollar/world exchange rate and gold price. Under effects of the crisis, the movements in short-run price of gold are caused by short-run changes in US/world exchange rate index, US inflation, US inflation volatility, and gold beta. |
| first_indexed | 2025-11-14T18:48:20Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-24028 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:48:20Z |
| publishDate | 2010 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-240282017-12-28T19:14:15Z https://eprints.nottingham.ac.uk/24028/ Gold price: Long-run and short-run determinants Dinh, Trung Duc This dissertation aims to examine the long-run and short-run relationships between gold price and its determinants. Monthly data and OLS regression techniques are used to develop two empirical models, one for long-run relationships and one for short-run relationships. We find that in the long-run, gold price is fairly stable and raises in line with US general price level. However the relationship is not a one-for-one relationship. Thus gold is not an effective hedge against US inflation. In addition, we find that short-run changes in the dollar/world exchange rate can disturb the long-run relationship and generate short-run price volatility. This paper also investigates the effects of one of the biggest financial crisis, namely sub-prime crisis, on the long-run as well as short-run relationships. It is the first attempt to do it. We find that under the effects of the crisis, the positive long-run relationship between gold price and US general price level is still kept. But the relationship becomes closely a one-for-one relationship. Thus gold is more effective in hedging against US inflation. Furthermore, we find that the short-run relationships generally are affected substantially by the crisis, except the negative relationship between dollar/world exchange rate and gold price. Under effects of the crisis, the movements in short-run price of gold are caused by short-run changes in US/world exchange rate index, US inflation, US inflation volatility, and gold beta. 2010-09-23 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/24028/1/lixtdd.pdf Dinh, Trung Duc (2010) Gold price: Long-run and short-run determinants. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Dinh, Trung Duc Gold price: Long-run and short-run determinants |
| title | Gold price: Long-run and short-run determinants |
| title_full | Gold price: Long-run and short-run determinants |
| title_fullStr | Gold price: Long-run and short-run determinants |
| title_full_unstemmed | Gold price: Long-run and short-run determinants |
| title_short | Gold price: Long-run and short-run determinants |
| title_sort | gold price: long-run and short-run determinants |
| url | https://eprints.nottingham.ac.uk/24028/ |