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'Gold as an Inflation Hedge?'
Abstract
This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. The theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against inflation. The model also demonstrates that short-run changes in the gold lease rate, the real interest rate, convenience yield, default risk, the covariance of gold returns with other assets and the dollar/world exchange rate can disturb this equilibrium relationship and generate short-run price volatility. Using monthly gold price data (1976–1999), and cointegration regression techniques, an empirical analysis confirms the central hypotheses of the theoretical model.
... Some studies have found that gold is a leading signal of inflation because the gold price incorporates information about inflation expectations (Garner, 1995;Mahdavi & Zhou, 1997;Ranson, 2005). Furthermore, gold is predicted to become an inflation hedge in the long term due to its being one of the most sought-after precious metals, meaning that its purchasing power can be preserved for long periods of time (Bampinas & Panagiotidis, 2015;Ghosh et al., 2004;Levin & Wright, 2006). ...
... For the first stream of research, according to studies by Ghosh et al. (2004), Levin and Wright (2006), there exists a positive correlation between the price of gold and inflation, with gold being widely regarded as a long-term hedge against inflation. In an investigation of structural shifts, Worthington and Pahlavani (2007) performed a study spanning two distinct timeframes: 1945-2006 and 1973-2006. ...
... We can further conclude that both types of gold are not eligible for inflation hedging in Vietnam. The findings contradict those of Ghosh et al. (2004), Levin and Wright (2006), Worthington and Pahlavani (2007), and Bampinas and Panagiotidis (2015), who found that gold might serve as a long-term inflation hedge in an American context. However, a number of studies, including those by Hoang et al. (2016), Wang et al. (2011), andCzudaj (2013), share the same result that gold is not a long-term inflation hedge. ...
This paper investigates the inflation-hedging ability of gold in Vietnam from 2011 to 2022. In order to assess how government management has affected the domestic gold market, two local gold prices (SJC and 9999) were employed. The non-linear autoregressive distributed lags (NARDL) approach is applied to analyze the short- and long-run asymmetry between CPI and gold prices. The result reveals that the relationships between CPI and gold prices are non-linear (asymmetric) and gold can only hedge against inflation in the short run. Additionally, the global gold price fluctuations, combined with limited supply, have created a supply shock, causing domestic enterprises to proactively widen the bid-ask spread in both types of gold to mitigate risks, indirectly exacerbating the local-global price disparities.
... Gold has long held the mantle as a premier safe haven asset, as it provides protection against inflation and is easily liquidated. However, some research suggests that its effectiveness as a hedging tool may only be evident over the long-term and may not provide the same benefits in the short-and medium-term [2]. Despite the general expectation that gold would exhibit its hedging properties during the COVID-19 pandemic, recent findings by [3] suggest that gold may not be the most efficient safe haven asset compared to crypto-assets. ...
... Overall, the findings shed light on the behavior of gold in relation to various financial indices, highlighting its potential role as a safe haven asset and its limited effectiveness as a hedge in the long-term, contrary to the findings of [2]. The findings differ from previous research and suggest that gold's hedging and safe haven properties may be fading over time. ...
Gold is revered for its tangible nature, historical usage as a currency, and its role as a store of value, particularly during times of economic turmoil. This research delves into the enduring allure of gold as a valuable asset in financial markets and examines whether the attributes that have sustained its prominence throughout history are still applicable. We have elected to focus on the log returns of gold, three stock indices (namely, the MSCI World Index, S&P 500, FTSE 100) and a cryptocurrency (i.e. Bitcoin) in the 21 st century, for a period spanning from 1/1/2000 to 31/5/2023 (which has not been studied so far in the literature). This analysis serves a dual purpose: studying the relationships between gold and the other variables; and assessing its ability to be a hedge or safe haven for them. For the first part, we use a generalized autoregressive conditional heteroskedasticity (GARCH) model to study the conditional volatility, rolling window correlation and a vector autoregressive (VAR) model; for the second part, we use the classical linear regression method. Our analysis employs a mixture of methodologies found to be prominent in existing literature so that our results may remain comparable. We ultimately find that gold retains the attributes under study, although they seem to be deteriorating in strength compared to what has been observed previously.
... Gold is seen as a security asset against inflation, political uncertainties and economic fluctuations. There is wildly research about capability of gold to hedge inflation [2][3][4][5][6][7][8][9]. Gold is considered a safe haven for investors during risky or uncertain economic times. ...
... Speculative speculators trade gold in expectation of an increase or decline in gold prices in an effort to profit. The long-term value of gold may be employed for a variety of purposes, including portfolio diversification [3], security against currency depreciation [28], and portfolio diversification [29]. Along with other investments that often have poor or negative returns, gold is said to as a "safe haven". ...
This study examined the Co-movements between gold and Bitcoin using weekly data between January 4, 2015, and May 21, 2023. Multivariate-GARCH models and the ARDL Bounds test for long-run relationships, as well as Johansen cointegration and two-stage Engle-Granger tests, were extensively used in the study. The study’s main objective is to investigate the “spillover effect” and “Co-movements” between the two variables. According to the model BEKK-GARCH, the analyses have shown that there is an interaction involving only the transmission of past cross-shocks from gold to Bitcoin, which is unilateral. The results of the BEKK-GARCH model show that there is no spillover effect between gold and Bitcoin. According to the results of the cointegration test, there is a long-run relationship between returns but no long-run relationship between prices. The DCC and CCC models show that the relationship between gold and bitcoin is only weakly positive. These results suggest that there is no strong relationship between the two assets and that the return movements are largely independent of each other. The results show that gold and Bitcoin returns and prices can be affected by different factors over time, which can change the correlation.
... These studies find out the correlation between major assets and gold that whether it is negative or low. Fourth group includes the literature focusing on the inflation hedging effectiveness of gold (Kolluri, 1981;Chappell and Dowd, 1997;Moore, 1990;Ghosh et al., 2004;Mahdavi and Zhou, 1997;Levin and Wright, 2006). These studies explored the long-run and short-run relationship between CPI and price of gold. ...
... Continuous increase in gold price increases AUS/US$ exchange rate equilibrium, which in the long run leads to increase in export revenue of gold, which makes Australian economy stronger. Ghosh et al. (2004) examined the long-run and short-run movements in gold price. For this purpose monthly data was used for the period 1976 to 1999. ...
In recent years sharp increase in gold prices has been witnessed. Since gold has many functions, it provides macroeconomic safety and is used as a hedge against inflation. It is therefore important to know the determinants of gold price in Pakistan. The aim of this study is to analyze the effects of inflation, stock price, international gold price, rupees per dollar exchange rate, international oil price and income on domestic gold price. Due to frequent fluctuations in gold prices monthly time series data for the period 2000 to 2012 is used in the study. Using GMM, the effects of macroeconomic variables on gold price is empirically examined in Pakistan. GMM results show that inflation, international gold price, international oil price and income have a statistically significant positive impact, while stock price and exchange rate have a statistically significant negative impact on gold prices in Pakistan. The results drawn from this study are useful for financial analysts, policy makers and investors in analyzing the effect of determinants of gold price and accordingly making policy and investment decisions.
... This caused other countries to lose their trust in the maintainability of the parity (Bampinas and Panagiotidis 2015). Since that time, the gold price has increased rapidly with the large increase in the amount of the United states dollars (Ghosh et al 2004). Several scholars have observed that the price of gold is directly linked to the US economy, particularly some macroeconomic variables such as the rate of US inflation, the US unemployment rate, the level of Gross Domestics Product, the rate of interest rate, and also some other macroeconomic variables. ...
... Moreover, an increase in the rate of interest brings about an increase in the US dollar value pushing the price of gold downwards. Ghosh et al., (2004) presented that there is a significant economic and statistical correlation between the rate of inflation and the international price of gold. They found that an increased rate of inflation brings about an increase in the gold price which results from a lower real interest rate and a lesser attractiveness of an alternative to safe gold investment. ...
ABSTRACT:
In the last few years, a sharp increase in the price of gold has been observed. Since gold has numerous functions, it provides macroeconomic safety and also is used as a hedge against inflation. The purpose of this research is to examine the impact of some US macroeconomic variables such as the rate of inflation, the interest rate, the unemployment rate, real GDP, and the US dollar Index on gold prices in the international market. This study employs the Generalized Method of Moment (GMM) model, using annual time-series data for the period 1971 to 2021. The findings of this research show that all variables have a statistically significant, with a one percent significance level except the unemployment rate which is statistically significant at a 5 percent level. Both the inflation rate and unemployment rate have a positive effect on the price of gold which is consistence with economic theory. Thus, it is shown that when the inflation rate increases by one percent, the gold price will increase by 1.32 percent. On the other hand, the gold price will increase by about 0.89 percent, when the rate of US unemployment increases by one percent. While the rest of the explanatory variables namely the interest rate, real GDP, and the US dollar index have a negative impact on the price of gold. The increase in the interest rate, real GDP, and US dollar index by one percent, lead to a decrease in the gold price by 0.391.91, and 2.21 percent respectively.
keywords: General Method of Moment, Gold, US Dollar
... Studies have shown that gold has two characteristics: it is stable over the long run, but it is volatile over the short term. Augmented Dickey-Fuller (ADF) test was used which showed how diverse gold performs as an inflation hedge (5). The findings on gold's efficiency as an inflation hedge, however, continue to be contradictory. ...
India has been the leading consumers of gold with the consumption of around 774 metric tons in 2022. The demand for gold in India is majorly associated with its culture, tradition, attractiveness, and the source for financial security (GJC,n.d.)The gold market in India plays a vital role in the economy as a stable asset and hedge against inflation due to its ability to hold value over time. In order to limit the import of gold and reduce the country’s current deficit, the Indian Government introduced Sovereign Gold Bonds in 2015 as a substitute to physical gold. As SGBs export-import values are backed by Reserve Bank of India (RBI) they are considered as an inflation hedging tool. The study aims to examine the effectiveness of SGBs, in the changing economy by understanding the impact of key economic indicators – Inflation Rate, Exchange Rate, Per Capita Income, Gold Prices, and GDP Growth Rate—on the performance of Sovereign Gold Bonds (SGBs) in India. 36 months observations of the selected macroeconomic variables and series wise released prices are collected for a period starting from September 2021 till August 2024 for the analysis. Descriptive statistics is applied to understand the characteristics of the variables. Further, correlation and ordinary least square method is used to check the existing relationship and impact level of macroeconomic variables on SGBs. Lastly, both long run and short run relationships of these variables are analyzed using the Autoregressive Distributed Lag Model (ARDL).
... Many studies have demonstrated the utility of gold as a hedge against risks as a traditional safe-haven asset. For example, gold has been effectively utilized for inflation hedging due to the negative relationship between gold (Bampinas and Panagiotidis 2015;Blose 2010;Ghosh et al. 2004;Wang et al. 2011;Worthington and Pahlavani 2007). It exhibits long-term hedging effectiveness against risks related to headline, expected, and core CPI. ...
Since its introduction as a decentralized digital currency for peer-to-peer transactions, Bitcoin’s role in financial markets has undergone significant evolution. We employ bibliometric analysis to explore research trends in Bitcoin, identifying two primary perspectives in the recent financial economic literature: Bitcoin as a speculative asset and as a safe-haven asset. The speculative nature of Bitcoin is evident through its high volatility and frequent price jumps, largely influenced by rapid shifts in investor sentiment and attention, which create both risks and opportunities for traders. Conversely, Bitcoin exhibits characteristics of a safe-haven asset due to its asymmetric tail dependence and negative correlation within certain asset classes.
... The "asset demand" views gold as a "guard" for unexpected situations such as inflation. However, because of the short-term volatility in its price due to unpredictable economic circumstances, gold can only be used for hedging purposes only in the long run (Ghosh Dipak, 2004). ...
This research examines the effects that changes in commodity prices have had on the reserves and inflation of Pakistan, emphasizing the impact of such price changes on economic stability. The goal of this paper is to show how gold, oil, and dollar prices affect inflation and reserves. This paper also estimates the effects of the variations in dollar, oil, and gold rates on the reserves and inflation of Pakistan. In this respect, the inflation and reserves are the dependent factors, while the prices of oil, gold, and dollars are the dependent variables. The time series data based on ARDL has been used to estimate the effect of independent factors on the dependent variables for 30 years in the present study. This high correlation between crude oil price and inflation shows that an increase in crude oil prices leads to aggravating the prevalent inflationary pressures in Pakistan. The results, on the other hand, suggest that the changes in the price of gold and the dollar have no effect on the reserves or inflation. These findings also draw on the imperative for close monitoring of the change in crude oil price by policymakers and the implementation of policies that reduce its impacts on inflation. The study further adds to the literature pool by carrying out an in-depth analysis of the relationship between key commodity prices and macroeconomic indicators of Pakistan, focusing on resilience against external shocks and economic diversification. Future policy actions that would aim to improve economic stability and attain sustainable growth in Pakistan can be informed by knowledge culled from this study.
... 2 Ghosh et al. (2004) Gold as an inflation hedge? Gold, inflation, real yields Gold is proven to protect wealth from inflation in the long run. ...
This study investigates the effectiveness of gold and Bitcoin as hedging instruments against the rising costs of education and food inflation in Indonesia. Using data from 2009 to 2024, the research employs descriptive and correlational quantitative methods, incorporating volatility analysis and hedging effectiveness models such as the Sharpe ratio and Value-at-Risk. Gold demonstrates stability and consistent performance as a hedge against inflation in education costs, while Bitcoin, despite its volatility, shows potential as a speculative alternative. Food price increases are shown to significantly impact education costs, and this study highlights the need for effective investment strategies to counteract these economic challenges. The findings contribute to a deeper understanding of gold and Bitcoin's roles in mitigating specific forms of inflation, particularly in critical sectors like education and food.
... Crude oil plays an essential role in human economic activities, and fluctuations in its price significantly impact economic development (see Mo et al. 2019;Wen et al. 2019). Evidence indicates that gold can be regarded as a secure refuge against both inflation and political instability (see Blose, 2010;Chua and Woodward, 1982;Ghosh et al. 2004;Tully and Lucey, 2007;Worthington and Pahlavani, 2007). Similarly, crude oil has the ability to mitigate risk to some extent (see Garbade and Silber, 1983). ...
In recent years, global crisis events have become increasingly common. Gold, recognized as a safe asset, and crude oil, an essential industrial commodity, have attracted the attention of many scholars seeking to understand the impact of such crises on both. On the basis of a Markov regime-switching (MRS) model, copula function, and conditional value at risk (CoVaR) model, this paper proposes an MRS copula CoVaR model to investigate the changes in the level of dependence between these two assets and examine the risk spillover effects between them. This study obtains the following conclusions. (1) From 2018 to 2023, there are two distinct dependence regimes between the two assets. The tranquil regime is characterized by positive dependence, whereas the crisis regime is characterized by negative dependence. (2) In the crisis regime, there is downside risk spillover between the two assets, whereas in the tranquil regime, there is an upside risk spillover. These findings contribute to theoretical research and offer valuable insights for policymakers and investors in making informed decisions and developing appropriate investment strategies.
... Significance for Investors and Analysts: The ultimate objective of this research is to provide a predictive tool that empowers investors and analysts with reliable insights into future gold prices. In summary, this research aspires to contribute to the financial sector by developing a predictive model that not only enhances the understanding of gold price dynamics but also serves as a practical tool for making informed investment decisions in a volatile market environment [4]. ...
This article aims to forecast gold prices (GLD) using financial indicators such as the S&P 500 index (SPX), US Oil Fund (USO), Silver Trust (SLV), and the Euro to US Dollar exchange rate (EUR/USD). The target variable GLD and the features SPX, USO, SLV, and EUR/USD are included in the dataset, which dates back to January 2, 2008. In order to capture complex interactions within the financial data, we have applied a variety of machine learning methods, including decision trees, linear regression, lasso regressions, ridge regressions, and random forests. We have also used the most comprehensive set of characteristics to predict the price of gold in this article. Kaggle's dataset was used for both testing and training. The COLAB notebook was utilized to implement Python programming since it is the greatest tool and has a variety of libraries and header files that improve the accuracy and precision of the work. The model has important ramifications since it gives analysts and investors a predictive tool to help them make wise decisions. This improves risk assessment and portfolio management in the volatile gold market. This concept can also be used in the financial sector to assist more intelligent investing strategies.
... Another widely accepted notion is that currency depreciation and gold prices commonly move in the opposite direction. Prior empirical studies including Chua and Woodward (1982), Ghosh et al. (2004), Capie et al. (2005), Wang et al. (2011), Beckmann et al. (2015, and Bampinas and Panagiotidis (2015) argue that gold is an effective hedge against inflation. This is because gold has been proven to preserve its value at periods of high inflation. ...
We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three distinct levels or zones of the effective federal funds rate using SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function of log changes in the nominal broad U.S. dollar exchange rate index for each of the obtained zones. Their relationship is consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also implies that gold is a safe-haven asset against the U.S. dollar exchange rate risk against a broad range of currencies. The substitution is weaker in the low-interest rate zone, more robust in the intermediate zone, and very pronounced in the high zone. We also perform a Markov switching test on the double-log function of gold prices and the exchange rate. The tests show a pronounced inverse relationship, i.e., substitution between assets, at normal market conditions. The relationship becomes significantly positive during episodes of financial distress, indicating complementarity between gold and U.S. dollar assets.
... Research on the relationship between inflation rates and investor decisions reveals mixed associations (Braggion, von Meyerinck & Schaub, 2021). The hedging theory suggests that informed individuals may invest more during inflation to safeguard their investments, often turning to assets like gold, certain stocks, and haven assets (Baur & McDermott, 2012;Ely & Robinson, 1989;Ghosh, Levin, Macmillan & Wright, 2004). On the other hand, less informed individuals, as explained by the "money illusion, tend to sell more holdings during inflationary periods (Brunnermeier & Julliard, 2006;Howitt, 1989). ...
Purpose: The primary objective of this study is to uncover the complex relationship between cryptocurrency prices and significant global events that transpired within the past five years. These events encompass a wide spectrum, including political and global health crises, the public disclosure of multinational enterprises' investments in cryptocurrencies, and the influence of macroeconomic indicators. Beyond the exclusive focus on Bitcoin, this study adopts a more comprehensive approach encompassing various cryptocurrencies.Design/methodology/approach: This study examines the effects of the disclosure of cryptocurrency adoption plans by major corporations, the Russian-Ukraine war, Covid-19, Inflation rate, and Economic policy uncertainty within the U.S., U.K., and E.U on cryptocurrency prices (Bitcoin, Ethereum, and Binance coin) using a structural equation model over the past five years.Findings: Our findings provided several compelling insights. Most notably, during the study period major corporations’ adoption of cryptocurrencies positively influenced their price. Furthermore, a negative and significant association emerges between cryptocurrency prices and periods marked by economic policy uncertainty and inflation rates in the countries under investigation (U.S., U.K., and E.U). The results are robust under variations in sample composition and changes in sets of variables.Originality/value: The study uncovered the complex relationship between cryptocurrency price fluctuations and significant global events that transpired within the past five years by taking the factors identified in previous literature as a whole and adding new variables that are not well studied, such as the effect of Russian-Ukraine War and multinational corporations revealing cryptocurrency adoption intention on the prices of cryptocurrencies. This study represents a pivotal contribution by bridging a crucial research void and providing theoretical insights into the legal considerations to be undertaken by policymakers, and informed investment practices by traders, and corporate leaders.
... Inflation was shown to be significantly affected by uncertainty. Gold prices and U.S. inflation were studied by Ghosh et al. (2004), who looked for a correlation between the two variables throughout the time span of 1945-2006 and 1973-2006. Gold prices and the Consumer Price Index both show structural variation over time; hence, changes in either are not considered to be exogenous. ...
The current study looks at the causes of inflation by considering the implications of oil prices in the presence of money supply, oil price volatility, and gold prices in the case of G20 countries (Canada, Mexico, Russia, Japan, Brazil, and Italy) over the period 1990–2019. This study first uses the dynamic simulated ARDL model to stimulate, estimate, and plot to predict graphs of negative and positive changes occurring in the variables along with their short-run and long-run relationships. Results of the ARDL bounds test confirm a long-term relationship among oil prices, oil price shocks, money supply, gold prices, and inflation. Furthermore, the results of a novel dynamic simulated ARDL disclosed that oil prices are positively connected to inflation in selected G20 countries in the long run. On the other hand, results confirm that there is a negative and significant relationship between oil price shocks and inflation in the case of selected G20 economies. The result further revealed that gold prices exert a significant and positive impact on inflation in G20 countries in the long run. Moreover, the findings concluded that money supply has a significant nexus with inflation in the long run in the case of G20.
... If this mechanism holds true, there should be an inverse relationship between the depreciation of local currency and gold prices. Empirical research conducted by Ghosh et al. [60], Beckmann and Czudaj [61], and Bampinas and Panagiotidis [62] supports this mechanism, suggesting that gold serves as a hedge against inflation. ...
Abstract
This paper studies the importance of gold's effect on investment and the fact that gold is often seen as a safe-haven asset during economic uncertainty. When inflation rates rise, investors may turn to gold to preserve their wealth; the government will reserve gold to reduce the exchange rate risk. To provide a comprehensive analysis, the study incorporates forecasting the price of gold using both the Autoregressive Integrated Moving Average (ARIMA) and ARIMA-Generalized Autoregressive Conditional Heteroskedasticity (ARIMA-GARCH) models. The gold price data is daily from 1/01/2021 to 3/01/2024. We perform model comparisons that the ARIMA (2,1,3) and the ARIMA (2,1,3)-GARCH (1,1), which model gives lower mean absolute error (MAE) and root mean squared error (RMSE) values. The results show that the MAE and RMSE predictions of the ARIMA (2,1,3)-GARCH (1,1) model are 80.1371 and 96.8299, better than those of the other model. Therefore, the ARIMA (2,1,3)-GARCH (1,1) model forecast results are better precise. It gives a forecast value for gold prices in the world market at the end of 2024 of 1942.094 USD per troy ounce. Hence, the recommendation for investors and policymakers is that if the price is higher than 1942.094 USD per troy ounce in 2024, investors and policymakers should slow down to buy and wait for it to adjust first, or investors and policymakers with gold should gradually sell to make some profit. Moreover, good portfolio management will reduce the exchange rate risk by including an optimized amount of gold in currency portfolios. However, holding gold is risky; its prices may fluctuate due to factors beyond our control, such as war, uncertainty about world economic growth, and inflation. Therefore, investors and policymakers should consider the abovementioned factors and be careful when hedging in gold.
... However, the key distinction lies in the fact that U.S. Treasuries provide yields while gold does not. Hence, for investors, the opportunity cost of holding gold instead of interest-bearing treasuries is the real interest rate (Ghosh et al., 2004). In a market where investors make rational decisions, the real interest rate will primarily determine the asset demand for gold. ...
This paper explores key factors that could indicate the price of gold, with a specific focus on the real interest rate and the United States Dollar Index (USDX). By analyzing existing literature and historical events, this paper establishes the real interest rate as the primary driver of the price of gold and concludes that it could be used to predict future gold prices. As many existing studies purpose a negative relationship between the price of gold and USDX, this paper goes on to examine this relationship while considering the real interest rate. This paper purposes that the change in the U.S. real interest rate, relative to real interest rates in other countries, exhibits a positive correlation with the USDX. The real interest rate emerges as a key influencer for both the price of gold and USDX, potentially providing an explanatory framework for the relationship between the two. The finding of this paper is significant for researchers and investors seeking to predict future gold prices and study the relationship between the price of gold and USDX.
... ORCID: 0000-0002-5180-2148 2 Associate Professor, Department of Economics, Werabe University -Ethiopia 3 Associate Professor, Department of Accounting and Finance, Werabe University Ethiopia. 4 Faculty of Accounting and Finance, College of Business and Economics, Wachemo University, Ethiopia. Post Box 667 5 Lecturer, Department of Business Administration, University of Technology and Applied Sciences-Shinas, Sultanate of Oman. ...
Rationale: The primary goal of this paper is to assess gold investor activity in terms of gold demand generators, rationale for gold purchases, and the motives of gold buying. Research Design: The research was created using a combination of secondary data analysis and a large primary survey with a sample of 600 gold investors’ selected by using convenience sampling technique and tried to take opinions through online questionnaire. Finally, 449 investors responded after a prolonged persuasion and efforts. Findings: According to the survey, Indian households purchase gold for a variety of purposes, despite the fact that gold is regarded as a key cost in both good and bad times. India’s people desire to invest in gold to protect themselves against market volatility and uncertainty. This survey reveals that uncertainty is the most significant aspect to consider when it comes to the impact of stock market circumstances on gold. Factors such as income tax, retail investors' decision-making is influenced by the intrinsic worth of properties, future opportunities, and profitability, and gold is the most sought-after commodity due to its high liquidity, conventional value, and cultural value features.
... According to Table 7, the central bank policy rates of Indonesia, Türkiye, and South Africa (CBPOLID, CBPOLTR, CBPOLZA) can be said to have an effect on gold prices, although not as much as other global factors. This result parallels those from previous studies suggesting that many financial indicators may exist that determine gold prices, such as interest rates, inflation rates, and the prices of other securities (Ghosh et al., 2004). Investors usually believe that low interest rates cause higher gold prices, because treasury debt loses its advantage over precious metals like gold as an investment when interest rates are quite low, and a higher interest in gold can be seen, which drives prices higher. ...
This research discusses the causal relationship among the exchange rates, 10-year bond yields, and Central Bank policy rates with regard to the countries known as the Fragile Five (F5) by comparing them to global indicators such as gold, Bitcoin price, and the Volatility Index (VIX). The study takes into consideration the bond yields, exchange rates, and interest rates of Türkiye, India, Indonesia, South Africa and Brazil in terms of their causal relationship with one another. The study also identifies some causal relationships among gold, bitcoin, and VIX with each other as global indicators by using the Toda Yamamoto approach to the Granger causality test. This study has arrived at the conclusion that a causal relationship exists between exchange rates and interest rates for Türkiye, Indonesia, and South Africa but not for Brazil or India. VIX is the most significant variable, as it is affected by seven different variables, including policy rates and different exchange rates. In addition, none of the variables are seen to Granger cause bitcoin’s price.
... There is an expectation that precious metals and inflation are connected, with precious metals potentially serving as a safeguard against inflation (Feldstein 1980;Ghosh et al. 2004;Gorton and Rouwenhorst 2006;Levin et al. 2006). According to Gorton and Rouwenhorst (2006), the precious metals market may be influenced by inflation, as the future prices of precious metals are heavily influenced by anticipated inflation. ...
In this study, we present a two-step method for predicting price bubbles in precious metals, which combines a widely recognized right-tailed unit root test to detect bubbles with various machine learning algorithms to pinpoint the potential predictors of bubble formation and their relative significance. We utilize logistic regression, support vector machines, CART, random forests, extreme gradient boosting, and neural networks algorithms, which are more precise than traditional methods in making predictions and can handle binary classification and regression issues. Our analysis covers monthly prices for gold, silver, palladium, and platinum from 1990M1-2022M10. The study extends the literature by utilizing the Generalized Supremum Augmented Dickey-Fuller test to identify potential price bubbles and analyzing the effect of macroeconomic, financial, and uncertainty factors on the likelihood of bubbles using machine learning algorithms. The findings indicate that macroeconomic factors play a significant role in the formation of price bubbles in precious metals; specifically the consumer confidence index in the USA was a common factor that had a positive impact on the likelihood of bubbles in gold, platinum, and silver. However, the leading factors in the formation of bubbles in palladium were found to be financial variables and uncertainty variables. As predicting bubbles is crucial for regulators and policymakers to take preventive measures against future crises, identifying the key predictors of bubble formation and forecasting them in the early stages is essential.
... The researcher discovered that while there is a significant weak and negative correlation between gold and short-term stock prices, there is no major long-term association between gold and stock prices. Using a VAR model, Ghosh et al. (2004) examined the effects of global inflation, US inflation, global income, the value of the US dollar, and random shocks on gold prices over the time period from 1979 to 1999. It has been revealed that the price of gold is linked to the amount of inflation, interest rates, and the value of the dollar in the United States. ...
The aim of this study is to examine dynamic relationship among the prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. Recent literature for precious metals (gold, silver, platinum, palladium) and oil depict a lot contradiction results of their nexus in the long and short runs. So that, there is still much to investigate and learn about their relationship between them and with the exchange rate. The monthly data span from January 1990 to October 2021 is utilized, the study applies the co-integration analysis, multivariate Granger causality test and Variance Decomposition (VDC) analysis. The result shows the evidence of a long-run equilibrium relationship but weak feedbacks in the short run. The precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the oil market. The study implies whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro.
... Consequently, countries experiencing high levels of remittance inflows are likely to witness a rise in gold import demand. In addition, remittance recipients may choose to invest in gold as a store of value and a hedge against inflation, further increasing demand for gold imports in such countries (Ghosh et al., 2004). These remittance inflows can also play an essential role in stabilizing economies by providing foreign exchange reserves. ...
The focus of this research is to look at how remittance inflows affect gold imports in India for the period from 1980 to 2020. The study uses both the linear (symmetric) autoregressive distributed lag (ARDL) model of Pesaran et al. (2001) and the non-linear (asymmetric) autoregressive distributed lag (NARDL) model of Shin et al. (2014) to assess the symmetric and asymmetric impact of remittance inflows on gold imports. The key advantage of the NARDL model relies on its ability to simultaneously capture the short run and long run asymmetries through the positive and negative partial sum decompositions of changes in the independent variable(s). The results of linear ARDL model reveal that remittance inflows positively and significantly affect the gold imports in the long run, although negatively and significantly in the short run. The findings of NARDL model, on the other hand, show that there is significant asymmetric impact of remittance inflows upon the gold imports over the study period. The results confirm that whereas an increase in remittance inflows leads to a considerable increase in gold imports, a reduction in remittance inflows has no substantial impact in the long run. Another notable outcome is that, while a decline in gold prices boosts gold imports in the short run, both an increase and a decrease in gold prices enhance gold imports in the long run. Concerning the results of our study, it is suggested that more efficient channelization of remittance revenues and adoption of non-price measures may be deemed effective to curb the gold imports, which can contribute to reduce unfavourable trade balance.
... Consequently, countries experiencing high levels of remittance inflows are likely to witness a rise in gold import demand. In addition, remittance recipients may choose to invest in gold as a store of value and a hedge against inflation, further increasing demand for gold imports in such countries (Ghosh et al., 2004). These remittance inflows can also play an essential role in stabilizing economies by providing foreign exchange reserves. ...
The focus of this research is to look at how remittance inflows affect gold imports in India for the period from 1980 to 2020. The study uses both the linear (symmetric) autoregressive distributed lag (ARDL) model of Pesaran et al. (2001) and the non-linear (asymmetric) autoregressive distributed lag (NARDL) model of Shin et al. (2014) to assess the symmetric and asymmetric impact of remittance inflows on gold imports. The key advantage of the NARDL model relies on its ability to simultaneously capture the short run and long run asymmetries through the positive and negative partial sum decompositions of changes in the independent variable(s). The results of linear ARDL model reveal that remittance inflows positively and significantly affect the gold imports in the long run, although negatively and significantly in the short run. The findings of NARDL model, on the other hand, show that there is significant asymmetric impact of remittance inflows upon the gold imports over the study period. The results confirm that whereas an increase in remittance inflows leads to a considerable increase in gold imports, a reduction in remittance inflows has no substantial impact in the long run. Another notable outcome is that, while a decline in gold prices boosts gold imports in the short run, both an increase and a decrease in gold prices enhance gold imports in the long run. Concerning the results of our study, it is suggested that more efficient channelization of remittance revenues and adoption of non-price measures may be deemed effective to curb the gold imports, which can contribute to reduce unfavourable trade balance.
... Conventionally, gold consistently acts as the principal premium metal. Although the gold price is influenced by the short run variation in the US price level, inflation volatility, credit risk, the USD trade weighted exchange rate (Ghosh et al. 2004;Gorton and Rouwenhorst 2006;Kolluri 1981), besides a considerable parallel relationship between gold and equity returns (Boako et al. 2019), the long run positive relationship between gold and inflation makes it a long-term hedge against inflation (Levin and Wright 2006). Globally, investors use gold as a safe haven for their investment to minimize possible losses (Bassil et al. 2019;Baur and Lucey 2010;Baur and McDermott 2016). ...
To measure the diversification capability of Bitcoin, this study employs wavelet analysis to investigate the coherence of Bitcoin price with the equity markets of both the emerging and developed economies, considering the COVID-19 pandemic and the recent Russia-Ukraine war. The results based on the data from January 9, 2014 to May 31, 2022 reveal that compared with gold, Bitcoin consistently provides diversification opportunities with all six representative market indices examined, specifically under the normal market condition. In particular, for short-term horizons, Bitcoin shows favorably low correlation with each index for all years, whereas exception is observed for gold. In addition, diversification between Bitcoin and gold is demonstrated as well, mainly for short-term investments. However, the diversification benefit is conditional for both Bitcoin and gold under the recent pandemic and war crises. The findings remind investors and portfolio managers planning to incorporate Bitcoin into their portfolios as a diversification tool to be aware of the global geopolitical conditions and other uncertainty in considering their investment tools and durations.
... Similarly, it is shown that there exists a strong relationship between the gold prices and the exchange rates for the 1982-1990 period (Sjaastad, 2008). According to several studies in the literature, there is an inverse relationship between the USD index and the gold prices (Koutsiyannis, 1983;Ghosh et al., 2002;Vural, 2003). In another work, the causality relationship between the USD/TRY exchange rate and the gold prices in Türkiye for the period of 2006-2018 is investigated using the Granger causality test and it is demonstrated that there exists a long term causality relationship between the USD/TRY exchange rate and the gold prices (Cingoz and Kendirli, 2019). ...
Gold is a valuable metal which is widely used to accumulate capital and also as the raw material for a spectrum of jewellery and technological devices. Considering the broad utilization of gold, it is important to model the gold prices on both the country and the global levels. In this study, the gold price in Türkiye is modelled dependent on various related factors. The import, export and production amounts of gold as well as the exchange rate are considered as the input data affecting the gold prices. The seasonal-trend decompositions of the data are analysed as the first step. Then, a multilayer perceptron type deep learning network is developed in Python programming language for the modelling of the gold prices in Türkiye for the period of 2013M01-2023M02. The 70% of the available data is used as the training data whereas 30% of the data is taken as the test data. The actual gold prices and the results of the developed multilayer perceptron deep learning model are plotted which visually shows that the developed model accurately nowcasts the gold prices. The performance metrics of the developed nowcasting model namely the coefficient of determination, mean absolute error, mean absolute percentage error and the root mean square error are also calculated which further verify the accuracy of the developed model. It is argued that the developed model for the modelling of the gold prices can also be used for other countries or regions.
... According to a report by Dipak Ghosh, the public policy research centre of the World Gold Council, gold's nominal price is usually greater than or equal to its real price, and it holds its value well, especially in the 1970s and 1980s, when rich-world inflation was high [17]. ...
Since the conflict between Russia and Ukraine, the rapid rise in oil prices, the depreciation of the ruble and the fluctuations in precious metals prices have become issues of concern for investors. This paper discovers the relationship between precious metals, oil and the exchange rate of USD and ruble in the context of the Russia-Ukraine conflict approved Impulse response, and ARMA-GARCH estimation. The study figures out that during the chosen period, the increase in oil prices at the beginning of the Russian-Ukraine conflict resulted in an increase in precious metal prices. Additionally, the decrease of USBRUB is as well positively correlated with the price of precious metals as the price of precious metals. This paper suggests investors to study the relationship between the precious dollars and US dollars before the investment on account of the use of the substitution relationship and the same direction change relationship between them can help to estimate the possible investment risk and return. As considering the interaction between the three, this paper suggests the government to build a strategic petroleum reserve and established the foreign exchange reserves.
Purpose
India’s hefty gold imports, comprising 9.27% of total merchandise imports and 35.75% of trade deficit in 2020, strains the current account, necessitating swift import control. This study aims to explore the factors driving India’s gold demand in both the short and long run, whether for consumption or investment purposes.
Design/methodology/approach
This study uses a variety of scientific techniques, such as descriptive statistics, unit root analysis (with and without structural break tests), Brock, Dechert, and Scheinkman (BDS) test and non-linear autoregressive distributed lag cointegration technique.
Findings
This study reveals that long-term demand for gold imports remains resilient regardless of price fluctuations. In contrast, short-term demand is primarily influenced by price reductions, with increases in gold prices having insignificant impact. This study posits that the inverse relationship between falling gold prices and imports stems from consumption-driven demand, whereas the direct correlation between rising prices and imports is fuelled by investment motives in the long run.
Research limitations/implications
Policymakers may find nonprice measures more effective and efficient in managing gold imports and addressing long-term trade imbalances.
Originality/value
This paper, therefore, aspires to empirically examine the impacts of gold price on gold imports demand in India by analysing annual data from 1975 to 2020.
Gold and silver are considered precious metals not only because of their beautiful presentation but also because they would serve a role as investments. Thus, understanding how well they form part of investment portfolios and their capacity for hedging is critical. This study seeks to evaluate the investment prospects of gold and silver with respect to their functionality as hedging instruments against inflation and market volatility in the Indian market. We analysed the time-varying correlation between the Nifty index, inflation, gold, and silver using the GARCH-DCC framework, considering market volatility during the 2008 financial crisis and the COVID-19 pandemic. This study addresses the gap in the existing literature by analysing the role of gold and silver as hedging instruments in the Indian financial market over a comprehensive period from 2003 to 2023. Findings reveal that there is indeed a statistically significant positive correlation between silver and inflation, making silver an excellent hedge against inflation- albeit likely better than gold. During the financial crisis, gold’s correlation was a significant negative to the Nifty index- in other words, gold served as a strong hedge against declines in the stock market. The research focuses on the importance of gold as an asset in the financial market downturn, which was evidenced by its performance during the crisis of 2008. These findings will have practical implications in terms of hedging strategies and portfolio management within the ambit of the Indian financial market.
Gold is an enticing investment not only for individuals but also for firms and governments around the world. According to International Monetary Fund (IMF) recent reports the central banks around the world hold gold worth US$2 trillion which is accounted for about 16% of world gold reserves. World’s largest economies such as USA, Germany, Italy, France and Russian federation are the top five economies with largest percentage of gold reserves. Besides India and China are the top spots for largest retail gold consumers with around 57% demand for the gold jewellery. This inquisitiveness of gold among different sects of the economies is an indication of demand for the gold in various forms. Whether gold as an investment or as a reserve has the power to change an economy’s trajectory. Keeping Gold’s potential in view the present study is an attempt to forecast future gold prices in India using historical gold prices from November,2020 to April 2024. The forecasted values for the period of May,2024 to April,2025 are an approximate value computed using Auto regressive moving averages (ARIMA) model. The forecasted values indicated stable and cyclical trends which are not too distant from past and present scenarios. The study concluded that the cyclical and stable trends if studies instance to instance wise would generate more accurate and sophisticated forecast values.
Емпіричне дослідження потенційної ролі криптовалюти як інструменту хеджування інфляції набуває все більшої актуальності на тлі нещодавньої глобальної економічної невизначеності та інфляційного тиску. У цьому дослідженні вивчається довгостроковий зв'язок між цінами на Bitcoin та інфляцією за допомогою коінтеграційного аналізу, використовуючи щомісячні дані з січня 2015 року по червень 2023 року. Використовуючи коінтеграційні тести Енгла-Гренджера та Йохансена в рамках методу ковзного вікна, ми оцінюємо стабільність та еволюцію цього взаємозв'язку з плином часу.Результати свідчать про складний і мінливий у часі зв'язок між криптовалютою Bitcoin та інфляцією. Тест Йохансена виявив коінтеграцію у 25% ковзних інтервалів, тоді як тест Енгла-Гренджера знайшов докази лише у 3,6% інтервалів, що свідчить про те, що будь-який довгостроковий рівноважний зв'язок є радше епізодичним, ніж стабільним. Помітний структурний злам спостерігається близько 2021 року, що збігається зі значними змінами як на ринках криптовалют, так і в глобальних економічних умовах.Отримані результати ставлять під сумнів наратив про Bitcoin як надійний інструмент хеджування інфляції, вказуючи на те, що його зв'язок з інфляцією є менш стабільним, ніж у традиційних активів для хеджування. Період після 2021 року демонструє особливо високу волатильність цього взаємозв'язку, незважаючи на більш широке інституційне впровадження та увагу до нього з боку широкого загалу. Результати дослідження свідчать про те, що хоча Bitcoin може пропонувати властивості хеджування інфляції протягом певних періодів, ці властивості не є достатньо послідовними, щоб покладатися на них для систематичного захисту від інфляції.
This research investigates the factors influencing the disparity between domestic gold prices (SJC gold and 9999 gold) and global gold prices in Vietnam from January 2011 to December 2023. Using the Autoregressive Distributed Lag (ARDL) model, we identify key macroeconomic determinants impacting this price spread, including interest rates, oil prices, and consumer demand. Our findings reveal that higher interest rates are associated with larger price spreads, suggesting that monetary policy plays a significant role in the domestic gold market. Oil prices exhibit a negative relationship with the price spread for 9999 gold, indicating that rising oil prices tend to align domestic gold prices more closely with global trends. Consumer demand notably affects the SJC_Global price spread but not the 9999_Global spread, reflecting the different market dynamics of finished goods versus raw materials. Additionally, the error correction terms in both models indicate a robust mechanism for long-term equilibrium, demonstrating the Vietnamese gold market’s resilience. These insights highlight the need for policymakers to reconsider existing regulations, such as Decree 24, to ensure a stable and efficient gold market. The study concludes that while the Vietnamese gold market exhibits sustainable practices, regulatory revisions are necessary to support both market growth and community development. Future research should consider additional macroeconomic variables and the impact of regulatory changes over time to further understand the dynamics of gold price disparities in Vietnam.
Investment on gold as commodity carries risks and uncertainties for the economy and businesses. The gold price is volatile and investors’ expectations demand to fight against tendencies. Indeed, the best interests of stakeholders are expressed on the gold market security. Furthermore, this research is centered on the Central Bank’s gold reserve as critical asset on the international relations that ensures the accountability in their decision-making process. The research will answer the question: Is there geopolitical accountability in relation with the Central Banks’ Gold Reserve?
The methodology of the research is subdivided based on the theoretical analysis supported by the literature review of the accounting information system of central banks, and also reports, documents and statistics published by different entities. Additionally, the geopolitical accountability justifies the conceptual framework under discussion. The empirical analysis is based on the case study methodology that highlights, through the visual and content analysis, different strategic approaches to recognize the responsibility in the implementation of sustainable policies and accountability strategies of central banks.
Section 1 details the introduction. Section 2 presents the literature review of the theoretical framework of the gold reserve. Section 3 presents an empirical analysis of the Annual Report of the central banks of the European Union Member-States. The last section discusses the geopolitical accountability of gold reserves.
The geopolitical accountability of central banks’ gold reserve is complex, multifaceted, and its sustainability plays a significant role. It is important for stakeholders (governments, regulatory bodies, and the gold industry) to work together to ensure that the use of gold reserve is accountable, increase the stability, and reduce tensions with the promotion of responsible practices.
Purpose
The purpose of the study is to analyze the hedging abilities of the cryptocurrencies vis-à-vis gold against macroeconomic shocks in four emerging economies, India, China, Brazil and Russia.
Design/methodology/approach
Using the monthly data from January 2013 to April 2023, the paper analyses the response of Cryptocurrencies vis-à-vis gold prices to three different macroeconomic shocks, namely, the economic policy uncertainty shock, the financial uncertainty shock and the inflation shock, within a VAR framework with the help of the Generalized Impulse Response Function.
Findings
Both gold and cryptocurrencies have limited hedging abilities against macroeconomic shocks across countries. In India, bitcoin has become the new digital gold, while in China, it is not bitcoin but rather gold that retains its hedging abilities. Neither bitcoin nor gold, Binance Coin or Cardano, are found to be the new digital gold in Brazil and Russia.
Originality/value
The paper compares the top nine cryptocurrencies with the traditional asset gold in terms of their hedging potential against macroeconomic shocks in emerging countries.
The main purpose of this paper is to study the economic problems and difficulties of the three major economies (China, the European Union, and the United States) in the context of the Russia-Ukraine conflict in the post-epidemic era. The purpose is to analyze economic indicators such as GDP, CPI, unemployment rate, inflation rate, and exchange rate of these three economies in different periods, with auxiliary analysis based on the gold price, commodity index, and oil and gas price of the global market. It tries to study the specific economic difficulties faced by the three major economies and their countermeasures, and according to the response of the above data after the implementation of the policies, to judge the effect of the implementation of various policies in each economy and try to analyze the possible potential risks and try to propose whether there is a better solution. According to the analysis of this paper, the conflict between Russia and Ukraine has a certain impact on the three major economies, especially the European Union. All three economies were hit in the short term by sharp rises in raw materials and energy prices. However, the three major economies shave adopted timely policies to stabilize the economic downturn indirectly caused by the conflict between Russia and Ukraine. The United States and China have also ensured price stability to a certain extent. However, the EU needs to further deal with inflation due to the energy structure and other reasons.
Gold, a highly valued and significant investment asset, is subject to various influences including global economic conditions and geopolitical events. Recent advancements in machine learning have shown promising results in predicting financial time series, including gold prices. This study evaluates machine learning algorithms (Linear/Ridge/LASSO Regression, Decision Trees, Random Forest, XGBoost, SVM) for gold price forecasting. A comparative analysis of these algorithms reveals that tree-based machine learning techniques, specifically decision trees, random forest, and XGBoost, outperform other algorithms. Among them, random forest exhibits the highest R2 value (R2 = 0.99) and the lowest values for RMSE (1.38), MSE (1.89), and MAE (0.95). XGBoost and decision trees both achieve an R2 of 0.99 and obtain RMSE values of 1.51 and 1.76, MSE values of 2.28 and 3.09, and MAE values of 1.08 and 1.14, respectively. These findings suggest that tree-based machine learning models may be more suitable for predicting gold prices compared to traditional approaches.
This paper provides evidence regarding the relationship between asset returns and (expected) inflation in the U.S. market. Evidence indicates that inflation has a negative effect on stocks, REIT and bonds. However, its effect on housing and gold assets is positive. Evidence concludes both housing and gold tend to show a positive correlation with inflation. This study finds that inflation causes equity market volatility due to investors’ fears about the possibility of interest rate hikes by the Fed, which further aggravates the price of stocks and REIT, but helps to improve bond prices due to a flight-to-quality effect.
This paper investigates the impact of foreign fund’ flow on the Indonesian stock index incorporating other variables, namely the international stock market, gold price, foreign exchange rate, and the oil price. GJR-GARCH (1,1) model is used to analyze daily time-series data on IDX, foreign fund flows, the S&P 500, and gold, currency, and oil prices from 2014 to 2019. There is an evidence of leverage effect. It means that there is an asymmetric news impact on the conditional variances. Currency and oil prices are the only variables to have an impact on the Indonesian stock market index, while the rest of the variables do not influence the index. The government may provide infrastructures to attract foreign investors. At the same time, the government has to issue the policy that will protect the economy from stock market shocks. Finally, investors may include gold in their portfolio to diversify their investments.
JEL Classification: G120, G10, G40
Neste artigo é investigado o papel desempenhado pelo ouro na cobertura do risco da taxa de câmbio euro-dólar no período 1999-2011. Para isso, recorreu-se a um modelo EGARCH (2,1,1) aplicado a dados diários. Os resultados mostram que o ouro se revelou útil para a cobertura do risco cambial dos investimentos em dólares levados a cabo pelos habitantes da zona-euro. Durante todo o período considerado, a cotação do ouro mostrou[1]se inelástica em relação à taxa de câmbio euro-dólar tanto no curto como no longo prazo.
Motivated by the changing dynamics of gold prices on account of the prevalent uncertainty amidst the COVID-19 pandemic coupled with the proactive policy interventions by the central bank and the government, this paper studies the linkages between gold, other precious metals (silver and platinum), industrial metals, and financial assets, including equity and debt, in the Indian context. The paper finds that gold is largely a commodity-market follower in terms of price dynamics. In terms of inflation volatility and real returns, gold is not only less volatile, but it also records higher real returns. The paper develops a risk appetite index for India, termed as the Composite Risk Appetite Index (CRAI), using ten indicators measuring different aspects of financial market uncertainty and analyses the effect of CRAI on returns and returns’ volatility of select commodities/assets including gold. The paper finds evidence of gold providing higher returns during periods of low risk appetite and thus, establishing itself as a safe haven asset, albeit with higher volatility of returns.
The focus of this research is to look at how remittance inflows affect gold imports in India for the period from 1980 to 2020. The study uses both the linear (symmetric) autoregressive distributed lag (ARDL) model of Pesaran et al. (2001) and the non-linear (asymmetric) autoregressive distributed lag (NARDL) model of Shin et al. (2014) to assess the symmetric and asymmetric impact of remittance inflows on gold imports. The key advantage of the NARDL model relies on its ability to simultaneously capture the short run and long run asymmetries through the positive and negative partial sum decompositions of changes in the independent variable(s). The results of linear ARDL model reveal that remittance inflows positively and significantly affect the gold imports in the long run, although negatively and significantly in the short run. The findings of NARDL model, on the other hand, show that there is significant asymmetric impact of remittance inflows upon the gold imports over the study period. The results confirm that whereas an increase in remittance inflows leads to a considerable increase in gold imports, a reduction in remittance inflows has no substantial impact in the long run. Another notable outcome is that, while a decline in gold prices boosts gold imports in the short run, both an increase and a decrease in gold prices enhance gold imports in the long run. Concerning the results of our study, it is suggested that more efficient channelization of remittance revenues and adoption of non-price measures may be deemed effective to curb the gold imports, which can contribute to reduce unfavourable trade balance.
Puede decirse que las organizaciones se encuentran en medio de un proceso de transformación en cuanto a su relación con el gobierno, la sociedad y con sus socios comerciales con fines que superan el ámbito económico. La cadena de suministros y la incidencia que se puede tener en ella son hoy un nuevo medio a través del cual se puede contribuir al desarrollo sostenible. Las herramientas empresariales que contribuyen significativamente a la sostenibilidad alcanzan cada vez más auge, precisamente por el nuevo enfoque global en asuntos sociales y ambientales. Tras una revisión documental de las que se consideran las estrategias más importantes para contribuir a la sostenibilidad de las cadenas de suministro y que son esenciales para su gestión, el objetivo de este trabajo es proporcionar a investigadores, académicos y empresarios una propuesta de estrategias para gestionar la sostenibilidad de las cadenas de suministro. En la investigación se utilizó el método de análisis y síntesis a partir de estudios bibliométricos y se realiza una propuesta de matriz de enfoques de sostenibilidad de la cadena de suministro y de un procedimiento para priorizar las estrategias.
Bu çalışmanın amacı, Türkiye’nin 2005:M1–2022:M3 yılları arasındaki dönemde finansal yatırım araçlarından olan BİST100 endeksi, altın ve ABD doları getirilerinin enflasyon üzerindeki etkilerini ampirik olarak incelemektir. Bu nedenle çalışmada yöntem olarak gecikmesi dağıtılmış otoregresif sınır testi ile Toda-Yamamoto nedensellik testi kullanılmıştır. Yapılan uygulama sonucunda BİST100 endeksi ile ABD doları getirilerinin enflasyon üzerindeki etkilerinin kısa vadeli olduğu ve uzun vadede bu etkilerin istatistiki açıdan anlamsız olduğu sonucuna varılmıştır. Ayrıca bu zaman diliminde Türkiye’de altın getirilerinin enflasyon üzerindeki etkilerinin kısa ve uzun vadede istatistiki açıdan anlamsız olduğu tespit edilmiştir. Son aşamada yapılan Toda-Yamamoto nedensellik testine göre ise bu dönemde Türkiye’de enflasyon ile dolar getirileri arasında çift yönlü nedensellik ilişkisine rastlanırken, dolar getirilerinden altına doğru tek yönlü ve BİST100 getirilerinden enflasyona doğru tek yönlü nedensellik ilişkisine rastlanmıştır.
Global inflation and economic cyclical fluctuations have accelerated the depreciation rate of monetary assets. Safeguarding the purchasing power of long-term life insurance products’ cash flow becomes an issue of great theoretical and practical significance for life insurance. Using data from China, this article designs a long-term life insurance policy denominated in ounces of gold, and compares it with traditional long-term life insurance policies. For the time frame of interest to this study, we confirm that a long-term life insurance policy denominated in ounces of gold provided significant protection against the effects of inflation and economic cyclical fluctuations. We propose a risk management program aimed at price risk, interest rate risk, currency risk and investment risk as a result of the insurance policy denominated in ounces. Our recommended strategy includes an inducing index method to hedge against the losses caused by price fluctuations of gold.
We assess whether two classes of bubbles occur in the spot price of gold, rational speculative and periodically bursting bubbles, using gold's lease rates for the first time in the literature as a measure of its fundamental value. This question is of particular significance as these are the only observable market measures of a yield that can be earned from gold. We use unit root and cointegration tests to look for rational speculative bubbles and Markov Switching Augmented Dickey–Fuller tests for periodically bursting bubbles.
ADF and cointegration tests point to a rational speculative bubble. The more theoretically valid Markov Switching ADF test gives mixed evidence. No bubble is found to be present if we allow the variance to switch between regimes, the gold and its lease rate relationship is instead characterised by high and low variance periods. Imposing a constant variance gives evidence of a bubble for the 2, 3 and 12 month lease rates, but no bubble when we use the 1 and 6 month rates as determinants.
The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these periods. We also estimate optimal weights, hedge ratios, and hedging effectiveness for the stock-gold portfolios. Our findings suggest that stock-gold portfolio provides better diversification benefits than stock portfolios.
Let n observations Y 1, Y 2, ···, Y n be generated by the model Y t = pY t−1 + e t , where Y 0 is a fixed constant and {e t } t-1 n is a sequence of independent normal random variables with mean 0 and variance σ2. Properties of the regression estimator of p are obtained under the assumption that p = ±1. Representations for the limit distributions of the estimator of p and of the regression t test are derived. The estimator of p and the regression t test furnish methods of testing the hypothesis that p = 1.
Purpose
The purpose of this paper is to undertake an econometric investigation of the determinants of the nominal South African rand/US dollar exchange rate before and after the country's financial liberalisation in March 1995.
Design/methodology/approach
Regression models are used to examine the changing relationships between the nominal rand/dollar exchange rate and the determinants of capital flows, fundamentals, and country‐specific factors over the long‐run of 1988 to 2007, as well as over the sub‐sample periods of 1988 to 1995, and 1995 to 2007.
Findings
The results show that the factors that are associated with the rand/dollar exchange rate are different before and after the country's financial liberalisation. Prior to 1995, bond and equity purchases by non‐residents, the long‐term interest rate differential, political risk, and the Dollar price of gold were highly significant. However, post‐1995, only the net purchases of shares on the Johannesburg stock exchange (JSE) by non‐residents and the long‐term interest rate differential are significant.
Originality/value
The results suggest that the Rand has changed from being a “commodity currency” in the years before 1995 to being an “equity currency” after 1995.
This paper describes a theoretical and empirical study of the possibility of rational bubbles in the relative price ofgold. The critical implication of the theoretical analysis is that, if rational bubbles exist, the time series of the relative price of gold, as well as any time series obtained by differencing a finite number of times, is nonstationary. The empirical evidence relating to this nonstationarity property involves diagnostic checks for stationarity carried out in both the time domain and the frequency domain. This evidence strongly suggests that the process generating the first difference of the log of the relative price of gold is stationary, a finding that is inconsistent with the existence of rational bubbles. More broadly, the empirical analysis finds a close correspondence between the time series properties of the relative price of gold and the time series properties of real interest rates,which the theory relates to the time series properties of the fundamental component of the relative price of gold. In sum, the evidence is consistent with the combined conclusion that the relative price of gold corresponds to market fundamentals, that the process generating first differences of market fundamentals is stationary, and that actual price movements do not involve rational bubbles.
Gold, whether held in physical form or through financial claims, is of utmost importance to investors, central bankers, and sovereign nations alike. Yet empirically validated explanations of its volatile price remain elusive. Without an ex-post understanding of the determinants of gold prices, ex-ante forecasting is a fruitless endeavor. In this research, an index of US and European economic policy uncertainty is incorporated into a short-run pricing model for gold. The results suggest that in addition to gold being a hedge against inflation, increases in economic policy uncertainty contribute to increases in the price of gold.
This study deals with the issue whether gold actually exhibits the function of a hedge or a safe haven as often referred to in the media and academia. In order to test the Baur and Lucey (2010) hypotheses, we contribute to the existing literature by the augmentation of their model to a smooth transition regression (STR) using an exponential transition function which splits the regression model into two extreme regimes. One accounts for periods in which stock returns are on average and therefore allows to test whether gold acts as a hedge for stocks, the other one accounts for periods characterized by extreme market conditions where the volatility of the stock returns is high. The latter state enables us to test whether gold can be regarded as a safe haven for stocks. The study includes a broad set of 18 individual markets as well as five regional indices and covers a sample period running from January 1970 to March 2012 on a monthly frequency. Overall, our findings show that gold serves as both a hedge and a safe haven. However, this ability seems to be market-specific. In addition, by applying a portfolio analysis we also show that our findings are useful for investors.
Using regression techniques and seeking a simple predictive model the authors derived a formula for the annual price of gold based on changes in the rate of inflation in the USA, an index of the US dollar exchange rate and the annual world production of gold. Statistically the model shows a high correlation between the formula price and the market price over the past 16 years although many variables often considered important to the price of gold are ignored.
In this article, we analyse whether the Friday the 13th effect documented by Kolb and Rodriguez (1987) can be observed in precious metals markets. Specifically, we use dummy-augmented GARCH models to investigate the impact of this specific calendar day on the conditional means of gold, silver, palladium and platinum returns. The specification of the GARCH model follows a flexible class recently proposed by León et al. (2005) that incorporates time-varying skewness and kurtosis by applying a Gram-Charlier series expansion of the normal density function. Our results for the period from July 1996 to August 2013 provide three important insights. First, there is no evidence that human superstition regarding bad luck Fridays affects precious metals markets in a negative way, i.e. returns on Fridays the 13th are not significantly lower than on regular Fridays. Second, besides showing robustness in a variety of settings, we can confirm this main result in a sensitivity check, where we replace the dummy variables by a new measure of investor attention, recently promoted by Da et al. (2011), that is based on Google search volumes. Third, as an important by-product of our study, we can show that there is significant evidence of time-varying skewness and kurtosis in precious metals returns.
There has been increasing concern recently over the use of the simple first order Markov form to model error autocorrelation in regression analysis. The consequence of misspecifying the error model will be especially serious when the regressors include lagged values of the dependent variable. The purpose of this paper is to develop Lagrange multiplier tests of the assumed error model against specified ARMA alternatives. It is shown that all of the tests can be regarded as asymptotic tests of the significance of a coefficient of determination, and a table is provided which gives details of two general tests and several special cases.
This paper assesses the hedging and downside risk benefits of using gold for currency risk management at different investment horizons. Using wavelet multi-resolution analysis, we characterized market interdependence between gold and exchange rates for different time scales, finding positive dependence between gold and US dollar depreciation against a wide set of currencies for all time scales for the period January 2000 to March 2013. The analysis for mixed gold-currency portfolios confirms the usefulness of gold in currency hedging and downside risk management at different investment horizons, even though the size of the benefits varies through investment horizons, with benefits circumscribed to specific kind of portfolios, namely, those whoseweights are optimally determined.
This empirical study investigates the nature of spillovers between precious metal prices, i.e. gold and silver, stock markets and a number of macroeconomic variables for the G7 countries over the period 1981 to 2010. Through the methodological approach of the factor-augmented vector autoregressive (FAVAR) model, the empirical findings display that the price transmission across precious metal markets, stock markets and the macroeconomy is substantial. In particular, the results exemplify the role of the macroeconomic environment in explaining the behaviour of both gold and silver returns, while the performance of the stock markets does not appear to contribute as much.
Who upholds the surging gold price? Conventional wisdom suggests that the depreciation of the exchange rate, inflation and economic turmoil are the suspects. Nonetheless, while these factors cease, why does the gold price still stay around hikes? The gold market belongs to a global arena. Different from other commodities, its participants include the national central banks worldwide. However, surprisingly, the role played by these tremendous market participants’ gold holdings on the gold price has been ignored in past empirical works. This research focuses on central banks’ gold holdings to explore who upholds the surging gold price. Several interesting outcomes are derived. First, our empirical evidence shows an inverse phenomenon relative to news reports from the mass media that the gold holdings of central banks worldwide in fact continuously descend. Second, the mainstream countries of the world have not played a main role in the rising trend of the gold price in the recent decade; instead, newly emerging industrialized countries’ central banks’ gold holdings show their significant power in explaining causality to gold price fluctuations. Third, the reason for the persistent gold buying behaviour of emerging economies may be because the increase in the gold price delivers a kind of short squeeze effect to the central banks of emerging countries.
Abstract
This study investigates cointegrating relationship between gold import demand, gold price and GDP for Indian economy during the period Q1’1998-99 to Q3’2012-13. It also estimates short-run and long-run elasticities of gold import demand with respect to gold price and GDP. Johansen-Juselius, ARDL bounds test and threshold cointegration tests suggest cointegrating relationship among the variables. Gold import demand is found to be moderately inelastic to unitary elastic with respect to gold price in the long-run with income elasticity being highly elastic suggesting that gold is a luxury commodity. In the short-run, however, gold demand demonstrates high elasticity with respect to its price. Granger causality shows that gold import demand causes an impact on the price of gold in the short-run, though in the long-run income and price have impacts on the demand for gold import. The result of the study is highly insightful and has many vital implications for the Indian economy and its economic policies. The findings suggest that regular hikes in custom duties on gold import may bring temporary relief to control gold import demand and the stress on current account deficit. Hence, financial inclusion along with the creation of simple but lucrative financial products and educating people about those products may lead to a long-term respite from the depletion of foreign exchange reserves significantly by creating an investment substitute of gold
This paper examines gold's hedging and value-preserving properties against fluctuations in the US dollar. We propose a likelihood ratio test that draws a distinction between hedging and safe-haven characteristics on the basis of the conditional dependence structure under different market conditions. Our evidence, based on an analysis of data for US dollar exchange rates with a broad set of currencies, indicates that gold can serve as a hedge against US dollar depreciation but is a weak safe haven against extreme US dollar movements. These results have implications for risk management and hedging strategies.
Drawing on recent empirical research, we study whether the international business cycle, as measured in terms of the output gaps of the G7 countries, has out-of-sample predictive power for gold-price fluctuations. To this end, we use a real-time forecasting approach that accounts for model uncertainty and model instability. We find some evidence that the international business cycle has predictive power for gold-price fluctuations. After accounting for transaction costs, a simple trading rule that builds on real-time out-of-sample forecasts does not lead to a superior performance relative to a buy-and-hold strategy. We also suggest a behavioral-finance approach to study the quality of out-of-sample forecasts from the perspective of forecasters with potentially asymmetric loss functions.
Using a real-time forecasting approach, we study whether publicly available information on a large set of financial and macroeconomic variables help forecasting out-of-sample monthly excess returns on investing in gold. The real-time forecasting approach accounts for the fact that an investor must reach an investment decision in real time under uncertainty concerning the optimal forecasting model. The real-time forecasting approach also accounts for the possibility that the optimal forecasting model may change over time. We account for transaction costs and show that using forecasts implied by the real-time forecasting approach to set up a simple trading rule does not necessarily lead to a superior performance relative to a buy-and-hold strategy, implying that the gold market is informationally efficient with respect to the predictor variables that we study in this research.
In the early 2000s, the precious metal markets entered into a new phase where a steady rise of prices had been observed until the October 2008 crash. Given the size and importance of precious metal market, as well as the hedging capacity of precious metals due to their low correlation with equity markets (Draper et al., 2006), the question we want to arise is whether trader positions predict the direction of gold, platinum, and silver spot price movements. The forecasting content of the Commodity Futures Trading Commission’s Commitment of Traders report for platinum, silver and gold prices using trader positions is investigated in a VAR framework. Granger causality tests are conducted to determine whether a relation between trader positions and market prices exists. An examination of the extreme trader positions on price movements is also conducted. The results indicate that market return is a significant parameter in explaining trader’s positions for all trader types in each of the precious metal markets under consideration after the beginning of 2000s where we detect a structural break for each of the market under study. Commercial traders are found to be negative feedback traders, that is, they sell when the prices increase in the market. On the other hand, in line with the previous literature, a positive correlation between returns and positions held by non-commercial and non-reporting traders is found. However, trader’s net positions do not lead market returns in general. There is some evidence on the forecasting ability of extreme trader positions on market returns.
This paper assesses the role of gold as a hedge or safe haven against oil price movements. We use an approach based on copulas to analyse the dependence structure between these two markets. Empirical evidence for weekly data from January 2000 to September 2011 revealed the following: (a) there is positive and significant average dependence between gold and oil, which would indicate that gold cannot hedge against oil price movements; and (b) there is tail independence between the two markets, indicating that gold can act as an effective safe haven against extreme oil price movements. These results are useful for both portfolio risk managers and designers of policies aimed at using gold to preserve or stabilise oil exporter purchasing power.
The effects on the distribution of least‐squares residuals of a series of model mis‐specifications are considered. It is shown that for a variety of specification errors the distributions of the least‐squares residuals are normal, but with non‐zero means. An alternative predictor of the disturbance vector is used in developing four procedures for testing for the presence of specification error. The specification errors considered are omitted variables, incorrect functional form, simultaneous equation problems and heteroskedasticity.
Using the Lagrange multiplier procedure or score test on the Pearson family of distributions we obtain tests for normality of observations and regression disturbances. The tests suggested have optimum asymptotic power properties and good finite sample performance. Due to their simplicity they should prove to be useful tools in statistical analysis. /// En utilisant la procédure du multiplicateur de Lagrange, ou le score test, sur les distributions du genre Pearson, on obtient des tests de normalité pour les observations et les résidus de régression. Les tests suggérés ont des proprietés optimales asymptotiques et des bonnes performances pour des échantillons finis. A cause de leur simplicité ces tests doivent s'avérer comme des instruments utiles dans l'analyse statistique.
This study delivers further insights into oil and gold price dynamics and their relation to U.S. prices and the dollar exchange rate. Previous studies have frequently analyzed this issue regarding the price either of gold or of oil; however, the role of both quantities has not been analyzed simultaneously in a broader context. To tackle this caveat, we use monthly data for the nominal effective dollar exchange rate, oil, gold and U.S. prices from 1976:01 to 2011:11. We carefully analyze the long-run as well as the short-run dynamics and the long-run impact in terms of shocks, applying a cointegrated VAR model. The main conclusion we reach is that although gold and oil are both important commodities, their economic impact in terms of their shocks differs significantly. In the long-run, both quantities seem to be positively related and shocks to the gold price drive the system. In addition, the gold-oil spread is positively related to U.S. consumer prices, which implies a stronger relationship of consumer prices to the former.
Employing daily data over the period 1987-2010, we examine the diversifying, hedging and safe haven properties of gold bullion, gold stocks, gold mutual funds and gold exchange traded funds (ETFs). First, with regard to gold bullion, we document a clear and strong hedging role over a mere diversifying capability. Second, our results highlight that gold stocks, gold mutual funds and gold ETFs tend to be diversifiers. Third, both gold bullion and gold ETFs show support for the safe haven property. However, gold stocks and gold mutual funds display very little evidence of the safe haven characteristic. Consequently, investors who are keen on securing safe haven features of gold investment, cannot generally rely on gold stocks or mutual funds. Instead, they need to take positions directly in bullion or gold ETFs.
This study examines the short-run and long-run inflation hedging effectiveness of gold in the United States and Japan during the period of January 1971 to January 2010. Previous research has shown in the long-run that inflation tends to appropriately increase the price of gold in the U.S., leading to gold's popularity as an asset in portfolios to reduce the risk against sudden inflation. However, gold is only partially effective in hedging against inflation in Japan. This research found that the rigidity between the price of gold and the consumer price index affects the inflation hedging ability of gold in the long-run. The gold price is characterized by market disequilibrium induced by the price rigidity, causing the price of gold to be unable to response to changes in the CPI. To explore the inflation hedging ability of gold in the short-run, this study further examines the price rigidity in low and high momentum regime. It is found during the low momentum regimes that, gold return is unable to hedge against inflation in either the U.S. or Japan. However, during high momentum regimes, gold return is able to hedge against inflation in the U.S., while the price rigidity in Japan causes the price of gold to not fully hedge against inflation in the short-run.
We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions. Further we test linear hypotheses about the cointegration vectors.The asymptotic distribution of these test statistics are found and the first is described by a natural multivariate version of the usual test for unit root in an autoregressive process, and the other is a χ2 test.
This paper models the monthly price volatilities of four precious metals (gold, silver, platinum and palladium prices) and investigates the macroeconomic determinants (business cycle, monetary environment and financial market sentiment) of these volatilities. Gold volatility is shown to be explained by monetary variables, but this is not true for silver. Overall, there is limited evidence that the same macroeconomic factors jointly influence the volatility processes of the four precious metal price series, although there is evidence of volatility feedback between the precious metals. These results are consistent with the view that precious metals are too distinct to be considered a single asset class, or represented by a single index. This finding is of importance for portfolio managers and investors.
How do changes in expected inflation affect gold prices? Using unexpected changes in the Consumer Price Index (CPI) this paper shows that surprises in the CPI do not affect gold spot prices. The results indicate that investors anticipating changes in inflation expectations should design speculation strategies in the bond markets rather than the gold markets. Additionally, investors cannot determine market inflation expectations by examining the price of gold.
We compared the performance of gold and commodity prices as leading indicators of the inflation rate (INFR) and explored the possibility of improving INFR forecast by specifying error-correction models (ECM). We found some evidence of cointegration between commodity prices and the consumer price index (CPI). Comparisons of out-of-sample forecast errors indicate that an ECM of the CPI including commodity prices significantly outperforms a CPI model including the price of gold, but the marginal contribution of an EC term to predictive performance was statistically insignificant. We conclude that the recent emphasis on the price of gold as a guide to monetary policy is perhaps misplaced.
The problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion. These terms are a valid large-sample criterion beyond the Bayesian context, since they do not depend on the a priori distribution.
Thesis (Ph. D.)--University of Wisconsin, 1968. Includes bibliographical references (leaves 140-143). Vita. Microfilm.
Contemplation of the world’s disappearing supplies of minerals, forests, and other exhaustible assets has led to demands for regulation of their exploitation. The feeling that these products are now too cheap for the good of future generations, that they are being selfishly exploited at too rapid a rate, and that in consequence of their excessive cheapness they are being produced and consumed wastefully has given rise to the conservation movement. The method ordinarily proposed to stop the wholesale devastation of irreplaceable natural resources, or of natural resources replaceable only with difficulty and long delay, is to forbid production at certain times and in certain regions or to hamper production by insisting that obsolete and inefficient methods be continued. The prohibitions against oil and mineral development and cutting timber on certain government lands have this justification, as have also closed seasons for fish and game and statutes forbidding certain highly efficient means of catching fish. Taxation would be a more economic method than publicly ordained inefficiency in the case of purely commercial activities such as mining and fishing for profit, if not also for sport fishing. However, the opposition of those who are making the profits, with the apathy of everyone else, is usually sufficient to prevent the diversion into the public treasury of any considerable part of the proceeds of the exploitation of natural recources.
The hypothesis that exchange rate movements reflect country-specific shocks is supported indirectly by theorizing that country-specific shocks should also be reflected systematically in the price of gold and by confirming that gold price movements have explanatory power with respect to exchange rate movements ceteris paribus. This paper applies multivariate vector autoregression and cointegration modelling techniques to test for the short- and long-run influences of gold prices on exchange rates conditional on other monetary and real macroeconomic variables, and applies the resulting error correction exchange rate equation to out of sample forecasting exercises
This paper presents a model of the gold standard in which technology and preferences are modeled explicitly and account is taken of both the durability of gold and the exhaustibility of gold ore. The authors examine the steady state and its associated dynamics and show how the steady-state price level responds to changes in exogenous factors. Provided they have an interior solution with unmined gold in the steady state, this price level rises with technological progress in gold mining and falls with increases in real income and the discount rate. However, the steady-state price level behaves somewhat differently if the authors have a corner solution. Copyright 1997 by Ohio State University Press.
This paper describes the structure of the world gold market, its sources of supply and demand, and how it functions. The market has three principal functions in three major locations: the New York futures market speculates on spot prices, which are largely determined in London, whereas physical gold is in large part shipped through Zurich. The market is dominated by large suppliers and gold holders, including monetary authorities. Some unique characteristics of the gold market ensure confidentiality, and as a result, there are gaps in existing knowledge and data. The paper identifies and attempts to fill these gaps.