Quantitative Analysis of Gold Prices and its Influencing Factors
Abstract This paper examines the theoretical and empirical relationship between the gold price and five variables, namely, S&P 500 index, CPI, VXO, US dollar index and crude oil price using the vector error correction model (VECM) and the vector autoregressive model (VAR) for two time periods,...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26614/ |
| _version_ | 1848793209781616640 |
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| author | Lekarski, Fryderyk |
| author_facet | Lekarski, Fryderyk |
| author_sort | Lekarski, Fryderyk |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Abstract
This paper examines the theoretical and empirical relationship between the gold price and five variables, namely, S&P 500 index, CPI, VXO, US dollar index and crude oil price using the vector error correction model (VECM) and the vector autoregressive model (VAR) for two time periods, 1986-1999 and 2000-2012 respectively.
The Johansen Multivariate Approach finds evidence of the existence of cointegration for the 1986-1999 period. The cointegrating equation found, indicates that gold price, VXO, crude oil, inflation and dollar index all have a long-run relationship with each other. The Johansen Approach failed to find the existence of cointegration for the 2000-2012 period. This lack of a cointegrating equation for the second period demonstrates that long-term relationships may change or disappear over time, potentially as a result of structural breaks, such as the 2007-2008 financial crisis. |
| first_indexed | 2025-11-14T18:56:40Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26614 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:56:40Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-266142017-10-19T14:17:05Z https://eprints.nottingham.ac.uk/26614/ Quantitative Analysis of Gold Prices and its Influencing Factors Lekarski, Fryderyk Abstract This paper examines the theoretical and empirical relationship between the gold price and five variables, namely, S&P 500 index, CPI, VXO, US dollar index and crude oil price using the vector error correction model (VECM) and the vector autoregressive model (VAR) for two time periods, 1986-1999 and 2000-2012 respectively. The Johansen Multivariate Approach finds evidence of the existence of cointegration for the 1986-1999 period. The cointegrating equation found, indicates that gold price, VXO, crude oil, inflation and dollar index all have a long-run relationship with each other. The Johansen Approach failed to find the existence of cointegration for the 2000-2012 period. This lack of a cointegrating equation for the second period demonstrates that long-term relationships may change or disappear over time, potentially as a result of structural breaks, such as the 2007-2008 financial crisis. 2013-12 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26614/1/Lekarski.pdf Lekarski, Fryderyk (2013) Quantitative Analysis of Gold Prices and its Influencing Factors. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Lekarski, Fryderyk Quantitative Analysis of Gold Prices and its Influencing Factors |
| title | Quantitative Analysis of Gold Prices and its Influencing Factors |
| title_full | Quantitative Analysis of Gold Prices and its Influencing Factors |
| title_fullStr | Quantitative Analysis of Gold Prices and its Influencing Factors |
| title_full_unstemmed | Quantitative Analysis of Gold Prices and its Influencing Factors |
| title_short | Quantitative Analysis of Gold Prices and its Influencing Factors |
| title_sort | quantitative analysis of gold prices and its influencing factors |
| url | https://eprints.nottingham.ac.uk/26614/ |