Commodity Price Characteristics And The Economics of Gold Price Movements
To understand the economics of daily gold price data for five years from 2006 to 2011, a linear regression log-log model is developed to establish the correlation relationship of some of the most relevant macro-economic variables affecting gold price. Empirical results showed predicted correlation r...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25204/ |
| _version_ | 1848792936436727808 |
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| author | Modi, Shripal Alkesh |
| author_facet | Modi, Shripal Alkesh |
| author_sort | Modi, Shripal Alkesh |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | To understand the economics of daily gold price data for five years from 2006 to 2011, a linear regression log-log model is developed to establish the correlation relationship of some of the most relevant macro-economic variables affecting gold price. Empirical results showed predicted correlation relationships as in previous literature, and the high significance levels suggest that the movements of gold price is highly correlated with the drivers during a recession, thus suggesting that gold is considered as a crisis hedge. The demand and supply factors were also explored, alongside evaluating commodity and gold price characteristics of convenience yield and mean reversion. Finally, Monte-Carlo simulation using gBm was undertaken to simulate future gold price movements. |
| first_indexed | 2025-11-14T18:52:19Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25204 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:52:19Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-252042018-01-31T10:36:26Z https://eprints.nottingham.ac.uk/25204/ Commodity Price Characteristics And The Economics of Gold Price Movements Modi, Shripal Alkesh To understand the economics of daily gold price data for five years from 2006 to 2011, a linear regression log-log model is developed to establish the correlation relationship of some of the most relevant macro-economic variables affecting gold price. Empirical results showed predicted correlation relationships as in previous literature, and the high significance levels suggest that the movements of gold price is highly correlated with the drivers during a recession, thus suggesting that gold is considered as a crisis hedge. The demand and supply factors were also explored, alongside evaluating commodity and gold price characteristics of convenience yield and mean reversion. Finally, Monte-Carlo simulation using gBm was undertaken to simulate future gold price movements. 2011-09-23 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25204/3/MODI%2C_S._A._%282011%29_Commodity_Price_Characteristics_and_Economics_of_Gold_Price_Movements._University_of_Nottingham..pdf Modi, Shripal Alkesh (2011) Commodity Price Characteristics And The Economics of Gold Price Movements. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Modi, Shripal Alkesh Commodity Price Characteristics And The Economics of Gold Price Movements |
| title | Commodity Price Characteristics And The Economics of Gold Price Movements |
| title_full | Commodity Price Characteristics And The Economics of Gold Price Movements |
| title_fullStr | Commodity Price Characteristics And The Economics of Gold Price Movements |
| title_full_unstemmed | Commodity Price Characteristics And The Economics of Gold Price Movements |
| title_short | Commodity Price Characteristics And The Economics of Gold Price Movements |
| title_sort | commodity price characteristics and the economics of gold price movements |
| url | https://eprints.nottingham.ac.uk/25204/ |