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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. [ABSTRACT FROM AUTHOR]

This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on the Turkish stock market using a weekly data series from November 26, 1989 to July 10, 2022. For this purpose, we develop a new hybrid technique, the rolling window-based nonparametric quantile causality test, which allows the investigation of time-varying causality at various quantiles. The results reveal that (i) under all market conditions, there is time-varying causality from crude OP and GP to Turkish stock market returns (SMR) and volatility. (ii) The causal effects of both crude OP and GP on stock market volatility are larger than their causal effects on SMR. (iii) The crude OP have a greater impact on SMR than the GP, while the GP has a greater impact on stock market volatility than the crude OP. (iv) Both crude OP and GP have the strongest (least) causal impact on SMR and volatility under normal (bullish) market conditions. (v) Crude OP and GP have a greater impact on stock market volatility than on stock returns under all market conditions. Overall, our results highlight that OP and GP have a strong impact on the Turkish stock market, and this impact varies by returns and volatility. Therefore, financial investors should consider the volatility of crude OP and GP in the Turkish stock market. [ABSTRACT FROM AUTHOR]

Purpose This study examined the effect of the risk-free rate of return and other macroeconomic variables on the stock prices of firms listed on the Pakistan Stock Exchange-100 (PSX). Methodology The data from 2013 to 2023 was collected from the Karachi Stock Exchange website, Yahoo Finance, and the State Bank of Pakistan’s website. The main techniques for data analysis were Johansen-Juselius (J.J.) cointegration and the Vector Error Correction Model (VECM). Findings The findings show that a risk-free rate significantly impacts stock returns in the long run. Further, foreign direct investment (FDI) has a significant positive impact on the stock return of listed companies. The cointegration result indicates a long-run association among all the selected variables. Moreover, the results of the VECM show that the error correction term (ECT) in VECM (-1) is negative (-0.150) and significant. The negative coefficient of 0.150 indicates that deviations from the long-run equilibrium will be corrected at a speed of 15% per period, approximately within 7 months. Conclusion The study concludes that stock prices and macroeconomic indicators have long-run associations. Conversely, changes in the risk-free rate of return by the government or the banking sector have the opposite effect on stock prices. This study assists government officials, stock market participants, and policymakers in determining the profitability of the National Savings Scheme and Banks.

This study aims to determine the impact of macroeconomic variables on bitcoin prices in the United States. Bitcoin is one of the cryptocurrencies that has the highest price and the most users in the United States in recent years. This study uses monthly data on inflation, interest rates, USD/EUR rates, gold prices, and bitcoin prices. To achieve the objectives of this study, Dynamic Conditional Correlation (DCC) and Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) were used. The results showed that there is a negative and significant relationship between the variables of inflation, interest rates, and USD/EUR rates affecting the price of Bitcoin in that period. Conversely, there is a positive and significant relationship between the price of gold and the price of Bitcoin in the United States during that period. An in-depth understanding of how macroeconomic factors such as inflation, interest rates and the USD/EUR rates affect Bitcoin price is key to making smart investment decisions in an increasingly complex crypto market. The findings of this analysis confirm that the significant relationship between macroeconomic variables and Bitcoin price provides deeper insights for investors to anticipate market movements and design adaptive investment strategies.

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.

Considering the emotional behavior of investors in the cryptocurrency market, this paper comprehensively explores the sophisticated relationship between Bitcoin investor sentiment and gold price movements. The purpose of this study is to examine the impact of the gold price on investor sentiment of Bitcoin market traders and investors using monthly data from August 2020 to August 2022. The impact of oil prices on investor sentiment was examined using the Pooled Mean Group (PMG) method. The PMG approach considers short-term and long-term relationships between series and provides reliable results in the context of dynamic heterogeneous panel models. PMG implementations in all models show the short-term and long-term impact of the gold price on investor sentiment. The results also suggest that gold prices are positive and significant in the long run across all models, and that behavioral factors such as consumer sentiment and global economic stability are important in controlling gold prices at shorter time resolutions. Precious metals have had a positive impact on the Bitcoin market,

In the research, the causal relationships between Bitcoin, gold and oil prices were examined. The data of the research covers the period from 2015 to July 2020 and consists of daily price values. Augmented Dickey-Fuller Unit Root Test was used to see whether the stochastic process changes with time. Bitcoin and gold series do not contain a unit root since the oil series is stationary at the level while the difference is stationary. The reason why the series containing unit roots are not stationary is due to structural breaks or not, was investigated by Bai-Perron Unit Root Test with Multiple Structural Breaks. According to the test, it was determined that the Bitcoin series has one break and two regimes, while the gold series has two structural breaks and three different regimes. Whether the research series are cointegrated or not was investigated with the Gregory and Hansen test. The causality between the series was examined with the Toda-Yamamoto causality test, which is based on the VAR (Vector Autoregression) model and examines the causality in the series regardless of the unit root. A two-way causality relationship was determined between the eight lag-long Gold series and the Bitcoin series. In other cases, a causal relationship has not been established. As a result, we give an evidence that Bitcoin and gold prices series followed a parallel pattern while with oil not. Therefore, investors can add Bitcoin into their portfolios to make balance of the risk and return.

One of the most controversial concerns among the researchers is the expansion of the green bond markets, so as to reduce environmental pollution. The present study estimates the factors that help drive the global green bond markets, such as energy prices, gold prices, and green energy stocks. The study has applied Quantile Autoregressive Lagged Approach (QARDL) and Quantile Granger Causality test to estimate the causal relationship among the variables for January 2010 and June 2021. The QARDL findings reveal that for all the quantiles, the error correction term is statistically significant with the predicted negative sign. This confirms the existence of a strong long-run equilibrium relationship between the relevant variables and the green bonds market on a global level. The findings revealed that gold and energy prices have a lower effect on the green bonds market on every quantile, and also from the low to medium quantiles, respectively. While at the same time, the green energy stocks have an increasing effect on the green bonds market at higher quantiles. The results of the causal examination using Granger-causality in quantiles show a bi-directional causal relationship between the green bonds, energy prices, gold prices, and green energy stocks in the world economy. [ABSTRACT FROM AUTHOR]

COVID-19 epidemic has brought uncertainty to each sector of the global economy, including the financial sector. The widely spread disease has a drastic effect, which massively created health and financial crisis and virtually pushed the economy to the brink of recession. The study focused on the financial development of China during the COVID-19 pandemic and analyzed the long-term and short-term impact of COVID-19, oil prices, gold prices, and global economic policy uncertainty on the financial development of the country. The QARDL model, Wald test, and Granger causality tests are employed to assess the daily data of variables from January 1, 2020, to March 15, 2021. The study's empirical results revealed that an increase in the number of COVID-19 registered patients has an unprecedented negative effect on financial development, whereas the oil prices co-moved with the financial performance. On the other hand, gold prices and global economic policy uncertainty are negatively correlated with financial development. This study offers various policy recommendations to help the investors, government, and decision-makers to make better decisions for the improvement of the financial development of China. [ABSTRACT FROM AUTHOR]

The Autoregressive Distributed Lag (ARDL) is possible when cointegration analysis is applied to experimentally to shape the relationship between the variables without considering the regressors are stationary at its first difference or level, there is an integration of order one or both of the variables are mixed. Being based on one equation framework is a benefit of using the ARDL model, in order to take sufficient lags’ number and directing process data generation process in a modelling framework that goes from general to specific. The aim of this study is to focus on the trend of the relation between the GBP/USD rate and Brent Oil prices, which is done through the adoption of dependent variable which the oil price and the independent variable which is the dollar exchange rate. Another target of the research is to show the relationship between gold price and oil prices. The result shows that there are a number of likely influenced variable through by which the dollar-pound rate has effects on the demand and supply of oil as a result of its prices. That is done through the analysis of the relations between the variables of the study. Moreover, correlation coefficient values are given that there exists a positive explanatory correlation between the variables of the study. On the whole, there exists a positive long-term equilibrium relation between the GBP/USD exchange rate, price of oil and price of gold. Any change in the exchange rate of GBP/USD is causing the changes in prices of Brent oil. Consequently, the results are consistent with and not consistent with other researches that show opposite relationship. [ABSTRACT FROM AUTHOR]

Bu çalışmada BIST100 hisse senedi endeksinin faiz, döviz kuru ve altın fiyatları açısından duyarlılığının belirlenmesi amaçlanmıştır. Bu amaçla 4 Ocak 2000-28 Haziran 2021 dönemini kapsayan günlük veriler kullanılarak tüm örneklem dönemine ilişkin değişkenler arasındaki uzun ve kısa dönem ilişkilerinin COVID-19 pandemi dönemi ile kıyaslandığında nasıl seyrettiği Johansen-Juselius eşbütünleşme analizi, Granger nedensellik testi, varyans ayrıştırma ve etki-tepki analizleri uygulanarak araştırılmıştır. Elde edilen bulgulara göre, eşbütünleşme analizi için bağımlı değişkenin BIST100 endeksi getirisi olduğu durumda değişkenler arasında bir uzun dönem ilişki bulunmuş olup; altın fiyatlarının BIST100 üzerinde anlamlı bir etkisi bulunamamıştır. Granger nedensellik analizi sonuçları ise ele alınan dönem için BIST 100 endeksi ile hem döviz kuru hem de faiz serisi arasında çift yönlü bir nedensellik ilişkisinin varlığını saptarken, BIST100 endeksinden altın fiyatlarına doğru tek yönlü bir nedensellik ilişkisi ortaya koymuştur. COVID-19 dönemi ele alındığında %5 anlamlılık düzeyinde seriler arasında bir uzun dönem ilişkisi bulunamamış olup, %10 anlamlılık düzeyinde bulunan bir eşbütünleşik ilişki için ise hata düzeltme mekanizması yalnızca bağımlı değişkenin faiz oranları olduğu durumda çalışmıştır. Ayrıca bu dönemde genel dönemdeki kısa dönem ilişkilerinin tersine BIST100 endeksindeki değişimi serinin kendisinden sonra en çok açıklayan değişkenin altın fiyatları olduğu saptanmış olup, altın fiyatlarından BIST100’e doğru ve BIST100’den faiz oranlarına doğru tek yönlü nedensellik ilişkileri elde edilmiştir.

Autoregressive Distributed Lag (ARDL) is possible when cointegration analysis is applied to experimentally to shape the relationship between the variables without considering the regressors are stationary at its first difference or level, there is an integration of order one or both of the variables are mixed. Being based on one equation framework is a benefit of using the ARDL model, in order to take sufficient lags’ number and directing process data generation process in a modelling framework that goes from general to specific. The aim of this study is to focus on the trend of the relation between the GBP/USD rate and Brent Oil prices, which is done through the adoption of dependent variable which the oil price and the independent variable which is the dollar exchange rate. Another target of the research is to show the relationship between gold price and oil prices. The result shows that there are a number of likely influenced variable through by which the dollar-pound rate has effects on the demand and supply of oil as a result of its prices. That is done through the analysis of the relations between the variables of the study. Moreover, correlation coefficient values are given that there exists a positive explanatory correlation between the variables of the study. On the whole, there exists a positive long-term equilibrium relation between the GBP/USD exchange rate, price of oil and price of gold. Any change in the exchange rate of GBP/USD is causing the changes in prices of Brent oil.

Considering the emotional behavior of investors in the cryptocurrency market, this paper comprehensively explores the sophisticated relationship between Bitcoin investor sentiment and gold price movements. The purpose of this study is to examine the impact of the gold price on investor sentiment of Bitcoin market traders and investors using monthly data from August 2020 to August 2022. The impact of oil prices on investor sentiment was examined using the Pooled Mean Group (PMG) method. The PMG approach considers shortterm and long-term relationships between series and provides reliable results in the context of dynamic heterogeneous panel models. PMG implementations in all models show the short-term and long-term impact of the gold price on investor sentiment. The results also suggest that gold prices are positive and significant in the long run across all models, and that behavioral factors such as consumer sentiment and global economic stability are important in controlling gold prices at shorter time resolutions. Precious metals have had a positive impact on the Bitcoin market. [ABSTRACT FROM AUTHOR]

İnsanoğlu tarafından doğada kullanılmaya başlanan ilk madenlerden biri olan altın, birçok medeniyet tarafından öncelikle mücevher ve süs eşyası olarak, tarihsel süreç içerisinde ise para yerine kullanılmasıyla uluslararası para sisteminin temelini oluşturmaktadır. Parasal sistem içindeki önemini git gide kaybetmesine rağmen altın, günümüzde hala finans ve güvenilir yatırım aracı olarak kullanılmaktadır. Bu çalışmada Türkiye’deki altın fiyatlarını etkileyen faktörleri incelemek amacıyla Ocak 2000-Temmuz 2019 döneminde ARDL Sınır Testi ile uzun dönemli ilişki incelenmiştir. Yapılan literatür taraması kapsamında, altın fiyatlarını etkileyebilecek faktörler olarak Londra piyasası altın ons fiyatı, ABD enflasyon oranı, Dow Jones Sanayi Endeksi, ABD Merkez Bankası faiz oranı ve reel efektif döviz kuru değişkenleri seçilmiştir. Çalışmadan elde edilen sonuçlara göre, değişkenlerin uzun dönemde eş bütünleşik olduğu sonucuna varılmıştır.

Covid-19 ilk olarak Çin’in Wuhan kentinde Aralık 2019’da tespit edilmiş olup bu tarihten sonra kısa bir süre içerisinde global bir problem haline gelmiştir. Daha sonra da Dünya Sağlık Örgütü (WHO) tarafından 11 Mart 2020’de pandemi olarak ilan edilmiştir. Virüsün uzun dönemde hem sağlığa hem de ekonomiye nasıl etkilerde bulunacağı henüz bilinmemektedir. Bu çalışma, bölgesel Covid-19 vakaları, altın fiyatları, Euro kuru ile Borsa İstanbul şehir endeksleri arasındaki uzun ve kısa vadeli ilişkileri ortaya koymayı amaçlamaktadır. Nüfus yoğunluğunun en yüksek olduğu üç büyük şehre göre BIST İstanbul, BIST İzmir ve BIST Ankara şehir endeksleri seçilmiştir. Türkiye Cumhuriyeti Sağlık Bakanlığı Covid-19 Bilgilendirme Sayfası web sitesinde 29 Haziran 2020’den bu yana açıklanan bölgesel Covid-19 vaka sayıları ile şehir endeksleri eşleştirilmiştir. Analizlerde, serilerin farklı seviyelerde durağan bulunması nedeniyle, ARDL (Autoregressive Distributed Lag) Sınır testi kullanılarak, eşbütünleşme ilişkisi incelenmiştir. 29.06.2020 – 23.11.2020 dönemine ait günlük veriler kullanılmıştır. BIST İstanbul, BIST İzmir şehir endeksleri ile bölgesel Covid-19 vakaları, altın fiyatları ve Euro kuru arasında uzun dönemli ilişki tespit edilmiştir. Diğer yandan, BIST Ankara şehir endeksi için elde edilen katsayılar anlamlı bulunmamıştır.

Purpose – The purpose of the study is to find out the impact of gold and oil prices on the stock market. Design/methodology/approach – This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test. Findings – The data analysis results showed that gold and oil prices have a significant impact on the stock market. Research limitations/implications – Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set. Originality/value – This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.

[Display omitted] • Climate change leads to significant changes in environmental policy-making. • Fossil fuel costs and renewable energy limit environmental degradation. • Gold prices and non-renewable energy endanger environmental sustainability. • Our empirical estimates confirm the EKC hypothesis for GDP. The continuous rise in global environmental challenges has led to urgency toward establishing a secure framework to achieve sustainable development goals. This study establishes a novel theoretical framework to analyze the role of energy prices, energy consumption, gold prices and economic growth on environmental degradation in newly industrialized economies. To realize sustainable development goals and foster environmental defence, this study utilizes CS-ARDL as the main econometric approach to investigate the asymmetric association between environmental degradation and relevant factors. We also use AMG, CS-DL, Driscoll-Kray and FGLS to enhance the robustness of our findings. Our econometric approach reveals that energy resource prices and renewable energy consumption reduce environmental degradation, while gold prices and fossil energy consumption elevate environmental pollutants. We also confirm the existence of the EKC hypothesis. The findings of our extensive analysis paved the way for a well-designed environmental policy for NIC economies should focus on renewable energy consumption, green investments, and structural changes. [ABSTRACT FROM AUTHOR]

This article continues our analysis of the gold price dynamics that was published in December 2010 and forecasted the possibility of the “burst of the gold bubble” in April –June 2011. Our recent analysis suggests the possibility of one more substantial fluctuation before the final collapse in July 2011. On the other hand, in early 2011 we detected a number of other commodity bubbles and forecasted the start of their collapse in May – June 2011. We demonstrate that this collapse has actually begun, which in conjunction with the forthcoming burst of the gold bubble suggests that the World System is entering a bifurcation zone bearing rather high risks of the second wave of the global financial-economic crisis.

The analysis of the gold price series for 2003–2010 employing both the methodology developed by Didier Sornette and the one of the authors allows forecasting the collapse in gold prices in April – June 2011. The article discusses both the scenarios that could allow avoiding this collapse, and the possibilities of the “gold bubble burst” leading to the second wave of the global economic crisis.

This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag effect and mutual coherence function among the variables. The results show that changes in the USD exchange rate influence the prices of oil and gold negatively in the short- and medium-term. While in the long-term, the oil price has a negative impact on the value of the USD. Oil and gold are significantly linked and correlated because their prices are determined in USD. The findings of this paper have significant implications, particularly for risk management.

Despite the increasing significance and the central role of stock markets, investing in gold has remained a popular choice among market participants. The necessity to forecast gold prices has sparked a voluminous literature on the matter, though there is no consensus regarding the variables that drive gold prices evolution or the methodology that adheres to the true data generating mechanism. In this paper, we forecast gold prices comparing econometric and machine learning methodologies in order to produce a model that can better grasps the dynamics of gold prices. To do so, we filter the most prominent variables proposed by the relevant literature exploiting the ability of the Ensemble Empirical Mode Decomposition algorithm to separate noise from the actual evolution of a timeseries. Then, we train Support Vector Regression models coupled with the linear and nonlinear kernels. Our empirical findings suggest that the proposed model adheres closer to gold price evolution than Ordinary Least Square regression and Least Absolute Shrinkage and Selection Operator models used in the literature, while it can be utilized in shaping profitable portfolios. [ABSTRACT FROM AUTHOR]

One of the most important steps required for future planning in gold investment is being forecasted the prices in the future periods. Starting from here, it was aimed to be forecasted Cumhuriyet gold prices of Turkey in the future. For this purpose, ARIMA (Autoregressive Integrated Moving Average), Holt-Winters (Additive and Multiplicative models), Simple Exponential Correction and Holt Linear Trend from time series methods were used. Forecasting analysis results that were made with these methods were also compared on the basis of RMSE (Root Mean Squared Error) and Sum of Squared Residuals (SSR), which are the forecast evaluation criteria. According to the basic criteria, ARIMA was determined to be the best performing method. In the forecast analysis made with the established ARIMA model, it was forecasted that Cumhuriyet gold prices will continue to increase in the first six months of 2021. [ABSTRACT FROM AUTHOR]

Gold exchange traded funds help investors to generate the returns based on the movements of underlying commodity. In current scenario, gold ETFs are emerging as one of the best ETFs for the investments. The present study intended to determine the causal relationship between spot prices of gold, SENSEX, and ten selected BSE listed Gold ETFs. The closing prices gold ETFs, SENSEX and spot prices of gold was collected during 2015–2018. The study applied ADF root test, co-integration test, and Granger causality test to study the causal relationship. The results of the study revealed that out of ten, six gold ETFs has significant causal relationship with gold price and only two schemes has significant relationship with BSE SENSEX during 2015–2018. The study concluded that gold ETFs are largely affected by the spot price movements of gold. Therefore, an investor must understand the pricing dynamics of the underlying asset of ETF. [ABSTRACT FROM AUTHOR]

The key objective of the present study is to investigate the impact of changes in selected macroeconomic variables on Indian Stock Market (NIFTY 50 INDEX). To estimate the relationship, Multivariate Regression Model computed on Standard Ordinary Linear Square (OLS) method have been used. The time period examined is 2001-2016 and all the tests are conducted based on monthly data. Based on estimated regression coefficients and t-statistics, it is found that Nifty 50 index is significantly affected by US GDP, S&P index, gold prices, Indian WPI, its fiscal deficit, IPI and exchange rate.

It is widely accepted that inflation erodes purchasing power of retirement savings, redistributes wealth from lenders to borrowers, and threatens private investors' long-term objectives. Thus, there is a high demand on diversifying investors portfolio for both individuals and institutions in order to hedge against inflation. This paper aims to examine the effectiveness of gold investments to hedge against consumer inflation risks in the United States (US). Using monthly data from April, 1986 to June, 2016, that covers more than 30 years, unit root testing approach robust for finite samples, the Johansen multivariate cointegration test procedure and vector error correction model (VECM) have been employed to examine the long-run relationship between gold return and consumer inflation in the US. The key finding suggests that gold investments in the US provide an effective hedge against inflation for investors who are willing to keep their investments for long-run. However, it does not provide any hedge if investors hold it for only short-term.

The primary objective of this research article is to investigate the asymmetrical linkages between gold-oil-exchange rates and Bombay stock indexes by utilizing a nonlinear ARDL approach covering the period from April 2003 to May 2020. Time-series data is divided into three different types of regimes such as before the crisis regime, after the crisis regime, and over the entire period. Seasonality effects within the data series are identified through utilizing different types of unit root analysis such as Philips Peron (PP), augmented dickey-fuller test (ADF), and Kwiatkowski Philips Schmidt Shin (KPSS) test statistics followed by Zivot Andrew (ZA) unit root for identification of structural break unit root test. Nonlinearity within time-series frequencies has been identified through the implementation of BDS test statistics. For longer horizons and before the economic recession period, only gold prices, oil prices, and currency values have an asymmetrical association with Bombay stock indexes as positive shocks to these variables have no impact on stock indexes. However, after the crisis regime and for the longer term, negative shocks to exchange rate fluctuations and oil prices remain statistically insignificant, and only an asymmetrical relationship is established between oil prices and stock indexes. This shows that the regime is more important while classifying the impact of oil prices, gold prices, and appreciation, or depreciation in local currency on Bombay stock indexes. This research article has established an asymmetrical association between stock indexes and gold-oil-exchange rates and concluded asymmetries between them, which are well thought out to be symmetrical by previous researches.

This paper employs wavelet analysis to examine the relationship between the U.S. output and asset prices. We use the theory of the monetary transmission mechanism to explain the relationship between them. Wavelet analysis takes the simultaneous examination of co-movement and causality into account in both the time and frequency domains. We do find the positive correlation between each two series in the time domain. More specifically, the output and asset prices including oil, stock and house prices exhibit positive co-movement in the most of the sample period. However, the relationship between output and gold prices is a positive correlation for only a few years. From the frequency domain, output and stock, house prices correlate with each other across different frequencies. In addition, output and oil prices correlate at middle (medium run) and higher (short run) frequencies and output and gold prices correlate at higher (short run) frequencies. These findings offer important implications analysing how to apply assets prices to forecast output and analysing periodic variation of economic growth and economical sustainability for policymakers and practitioners.

This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag effect and mutual coherence function among the variables. The results show that changes in the USD exchange rate influence the prices of oil and gold negatively in the short- and medium-term. While in the long-term, the oil price has a negative impact on the value of the USD. Oil and gold are significantly linked and correlated because their prices are determined in USD. The findings of this paper have significant implications, particularly for risk management. [ABSTRACT FROM AUTHOR]

Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that may be related to gold prices. These variables were divided into two groups: precious metals and energy. According to the results of unit root (or stationary) tests and cointegration tests, a vector autoregression model (VAR) was constructed to reveal the short-term interaction between gold prices and precious metals, and a vector error correction model (VECM) was employed to reveal relationship between gold prices and energy prices. The results of the VAR analysis indicated that gold prices have a short-term correlation with silver prices; platinum prices have a short-term correlation with gold and silver prices; and there is a short-term correlation between silver prices and palladium prices. According to the results of the VECM analysis, gasoline and crude oil prices have no long-term correlations with gold prices, but gold and crude oil prices have a long-term correlation with gasoline prices. [ABSTRACT FROM AUTHOR]

The purpose of the undertaken research study is to examine the influence of crude oil and gold prices on the equity returns of Baltic and South Asian stock markets. The study comprises of daily data from January 1, 2010, to June 30, 2016. Nasdaq Baltic market (LOMXBBGI) data time series is stationary at level; however, rest of the data series became stationary at first difference by employing Philips-Perron and Augmented Dickey-Fuller approaches. Results of Johansen cointegration illustrated an absence of the cointegration amongst the considered economic indicators, therefore; we could not establish the long haul association amidst the equity returns of Baltic and South Asian markets, and crude oil and gold prices. The outcomes of VEC Granger Causality/Block Exogeneity Wald approach suggested unidirectional causality from LCOP to LKSE100 and LGP to LKSE100. Hence, it has been established that there is no causal affiliation amongst the variables. However, it is further concluded from the results of ARDL approach that the LOMXBBGI has a significant short-term relationship in lag 1 and lag 2. Moreover, DLGP also showed a significant short-term relationship with LOMXBBGI at 10% significant level. However, LCOP does not have any affect on LOMXBBGI. [ABSTRACT FROM AUTHOR]

Since its establishment, the Baltic Dry Index has become one of the foremost indicators on the cost of shipping as well as an important barometer on the volume of worldwide trade and manufacturing activity. In this paper, the MSIH(3)-VAR(3) model is selected to analyse the relationship between BDI, Gold prices and economic growth for the United States. The BDI, gold prices and GDP are cointegrated for the United States. The crisis regime tends to last 1 years on average, while Regime 2 is comparatively more persistent with 6.46 years. Finally, Regime 3 which corresponds to high growth tends to last 1.16 years, on average. The crisis regime of the economy is the most persistent regime in the US. Thus, the BDI and gold prices can be used as an indicator of crisis in GDP growth for the United States. [ABSTRACT FROM AUTHOR]

The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises and financial instabilities very vigorously. In this paper we follow a decision tree methodology to investigate the behavior of gold prices using both traditional financial variables such as equity returns, equity volatility, oil prices, and the euro. We also use the new Cleveland Financial Stress Index to investigate its effectiveness in explaining changes in gold prices. We find that gold returns depend on different determinants across various regimes. [ABSTRACT FROM AUTHOR]

This study aims to identify the factors that affect gold prices on the Turkish Gold Exchange. To that end, London Bullion Market Association's gold prices, Brent oil prices, the US dollar, the American Dow Jones Industrial Index, Wholesale Price Index, Istanbul Stock Exchange 100 Index, and monthly average time deposit interest rates were selected as the factors with possible impact on gold prices; and relevant econometric models were constructed.In the model that delivered the best results among all the models estimated by using the Engle-Granger two-step estimation procedure, London Bullion Market Association's gold prices were found to be the single and most important variable that influences the gold prices on the Istanbul Gold Exchange. Estimation of the gold prices on the Istanbul Gold Exchange in the study was done by using ARCH models. The analysis results revealed that the EGARCH(1,1) model is the best model. Using this model, it was concluded that gold prices on the Istanbul Gold Exchange are negatively influenced by the Dow Jones Industrial Index, positively influenced by London Bullion Market Association's gold prices, also positively influenced by the Wholesale Price Index, and negatively influenced by the volatility of the gold prices on the Istanbul Gold Exchange, which was estimated using ARCH models [ABSTRACT FROM AUTHOR]

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. [ABSTRACT FROM AUTHOR]