An assessment of the classical relationship of price fluctuations between the gold market and the US Dollar.
Keywords:
Econometric analysis; gold market; price fluctuations; US dollar.Abstract
For many decades the relationship between the gold market and the US dollar has dominated the international economy. In times of economic and policy uncertainty, the gold price traditionally increased, while in periods of growth and certainty, the US dollar usually appreciated in value compared to other currencies. This paper has the objectives to re-assess this classic relationship and to determine the causality between the gold market and the US currency. To achieve the objective of the study, a quantitative econometric methodology was utilised for the period 1995 to 2020. A Vector Autoregression model was estimated including three variables namely the gold market, US dollar index and real GDP for the US. Interesting relationships and causalities between the three variables were estimated including that the relationship between the gold market and real GDP seems stronger than the relationship between the gold market and the US dollar index. An important implication of this study is that changes in the gold price are not a significant indicator on its owns to track changes in the US currency. The value of the research is in the renewed analysis and updated coefficients on the long and short-run between the classic variables.
References
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Joy, M. (2011). Gold and the US dollar: Hedge or haven? Finance Research Letters, 8(3), 120-131.
Keightley, M.P., Labonte, M., & Stupak, J.M. (2016). Slow growth in the current US economic expansion. Library of Congress, Congressional Research Service.
Khan, H. (2015). The Impact of Oil and Gold Prices on the GDP Growth: Empirical Evidence from a Developing Country. International Journal of Management Science and Business Administration, 1(11), 34-46.
Kim, M.H., & Dilts, D.A. (2011). The relationship of the value of the Dollar, and the prices of gold and oil: a tale of asset risk. Economics Bulletin, 31(2), 1151-1162.
Klein, A.G., Gerhard, C., Büchner, R.D., Diestel, S., & Schermelleh-Engel, K. (2016). The detection of heteroscedasticity in regression models for psychological data. Psychological Test and Assessment Modeling, 58(4), 567.
Kogid, M., Asid, R., Lily, J., Mulok, D., & Loganathan, N. (2012). The Effect of Exchange Rates on Economic Growth: Empirical Testing on Nominal versus Real. IUP Journal of Financial Economics, 10(1): 7-17.
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Lee, J., & Yue, C. (2017). Impacts of the US dollar (USD) exchange rate on economic growth and the environment in the United States. Energy Economics, 64, 170-176.
Lin, F.L., Chen, Y.F., & Yang, S.Y. (2016). Does the value of US dollar matter with the price of oil and gold? A dynamic analysis from time–frequency space. International Review of Economics & Finance, 43, 59-71.
Lin, J.L. (2008). Notes on testing causality. Institute of Economics, Academia Sinica, Department of Economics, National Chengchi University. Available online: http://faculty.ndhu.edu.tw/~jlin/files/causality.pdf. Date of access: 15 March 2021.
Mashayekhi, B., Ara, M. S., & Jafari, A. (2013). Gold Price and Exchange Rate Volatility: Effects of Economic Sanctions. In International Journal of Information Technology and Management, 4(1), 121-127
Meyer, D.F. (2018). An Analysis of the Impact of Economic Growth, Political Instability and Exchange Rate on Tourism Growth in South Africa. In Proceedings of the 11th International RAIS Conference on Social Sciences (pp. 22-31). Scientia Moralitas Research Institute.
Mo, B., Nie, H., & Jiang, Y. (2018). Dynamic linkages among the gold market, US dollar and crude oil market. Physica A: Statistical Mechanics and its Applications, 491, 984-994.
Murach, M. (2019). Global Determinants of the Gold Price: A Multivariate Co-integration Analysis. Scottish Journal of Political Economy, 66(1), 198-214.
Nair, G.K., Choudhary, N., & Purohit, H. (2015). The relationship between gold prices and exchange value of US Dollar in India. EMAJ: Emerging Markets Journal, 5(1), 17-25.
Ocampo, J.A. (2016). A brief history of the international monetary system since Bretton Woods. In Journal of Documento de Trabajo, 1(97).
O'Connor, F.A., & Lucey, B.M. (2012). Gold’s Currency Characteristics and its Negative Relationship with the US Dollar. The Alchemist, 66(1): 1.
O'Connor, F.A., Lucey, B.M., Batten, J.A., & Baur, D.G. (2015). The financial economics of gold—A survey. International Review of Financial Analysis, 41, 186-205.
Pukthuanthong, K., & Roll, R. (2011). Gold and the Dollar (and the Euro, Pound, and Yen). Journal of Banking & Finance, 35(8), 2070-2083.
PWC. (2013). The direct economic impact of gold – World Gold Council. Available online: https://www.gold.org/sites/default/files/documents/PWC_direct_economic_impact_of_gold.pdf. Date of access: 17 March 2021.
Reboredo, J.C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
Reboredo, J.C., & Rivera-Castro, M.A. (2014). Wavelet-based evidence of the impact of oil prices on stock returns. International Review of Economics & Finance, 29, 145-176.
Rodrik, D. (2008). The real exchange rate and economic growth. Brookings papers on economic activity, 2008(2), 365-412.
Ronayne, D. (2011). Which impulse response function? (No. 2068-2018-2263). Available online: https://www.researchgate.net/publication/241769290_Which_Impulse_Response_Function. Date of access: 19 February 2021.
Samanta, S.K., & Zadeh, A.H. (2012). Co-movements of oil, gold, the US dollar, and stocks. Journal of Modern Economy, 3(1), 111-117.
Samanta, S.K., & Zadeh, A.H. (2012). Co-movements of oil, gold, the US dollar, and stocks. Available online: https://www.scirp.org/html/15-7200214_16837.htm. Date of access: 15 May 2021.
Shen, Z. (2014). How the US dollar index affects gold prices. A research project submitted in partial fulfilment of the requirements for the degree of Master of Finance. Saint Mary’s University: Zhengyuan Shen
Siggiridou, E., & Kugiumtzis, D. (2015). Granger causality in multivariate time series using a time-ordered restricted vector autoregressive model. IEEE Transactions on Signal Processing, 64(7), 1759-1773.
Sjaastad, L.A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
Sujit, K.S, & Kumar, B.R. (2011). Study on dynamic relationship among gold price, oil price, exchange rate and stock market returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
US Bureau of Economic Analysis. Real Gross Domestic Product Retrieved from FRED, Federal Reserve Bank of St. Louis. Available online: https://fred.stlouisfed.org/series/GDPC1. Date of access: 26 March 2021.
Vinokurov, E., Demidenko, M., Korshunov, D., & Kovacs, M. (2017). Customs unions, currency crises, and monetary policy coordination: The case of the Eurasian Economic Union. Russian Journal of Economics, 3(3), 280-295.
Williams, R. (2015). Serial Correlation: A brief overview – University of Notre Dame. Available online: https://www3.nd.edu/~rwilliam/stats2/l26.pdf. Date of access: 3 April 2021.
Yaya, M.E., & Lu, X. (2012). The short-run relationship between real effective exchange rate and balance of trade in China. International Journal of Applied Economics, 9(1), 15-27.
Zagaglia, P., & Marzo, M. (2013). Gold and the US dollar: tales from the turmoil. Quantitative Finance, 13(4), 571-582.
Zivot, E., & Wang, J. (2006). Vector autoregressive models for multivariate time series. Modelling Financial Time Series with S-Plus®, 385-429.
Andrei, D.M., & Andrei, L.C. (2015). Vector error correction model in explaining the association of some macroeconomic variables in Romania. Procedia Economics and Finance, 22, 568-576
Arfaoui, M., & Rejeb, A.B. (2017). Oil, gold, US dollar and stock market interdependencies: a global analytical insight. European Journal of Management and Business Economics, 26(3), 278-293.
Astrow, A. (2012). Gold and the International Monetary System: A Report by the Chatham House Gold Taskforce. Chatham House.
Atwill, T. & Liebl, G. (2019). Evil Twins: Commodity Prices and the Strength of the US Dollar. Parametric. Available online: https://www.parametricportfolio.com/insights-and-research/commodity-prices-and-the-strength-of-the-us-dollar. Date of access: 3 March 2021.
Bank for International Settlements (BIS). (2019). Triennial Central Bank Survey of Foreign Exchange and Over-the-counter (OTC) Derivatives Markets in 2019. Available online: https://www.bis.org/statistics/rpfx19.htm?m=6%7C381%7C677. Date of access: 25 February 2021.
Barguellil, A., Ben-Salha, O., & Zmami, M. (2018). Exchange rate volatility and economic growth. In Journal of Economic Integration, 33(2), 1302–1336.
Bildirici, M., Kayıkçı, F., & Onat, I.Ş. (2016). BDI, gold price and economic growth. In Journal of Procedia Economics and Finance, 1(38), 280-286.
Bjørnland, H.C. (2000). VAR models in macroeconomic research. Statistics Norway, 14, 1-29.
Board of Governors of the Federal Reserve System (US). (2020). Trade Weighted US Dollar Index: Broad, Goods, retrieved from FRED, Federal Reserve Bank of St. Louis. Available online: https://fred.stlouisfed.org/series/TWEXB. Date of access: 18 March 2021.
Brooks, C. (2015). Introductory econometrics for finance. 3rd edition. Cambridge university press.
Chang, H.F., Huang, L.C., & Chin, M.C. (2013). Interactive relationships between crude oil prices, gold prices, and the NT–US dollar exchange rate-A Taiwan study. Energy Policy, 63, 441-448.
Cooper, R.N., Dornbusch, R., & Hall, R.E. (1982). The gold standard: historical facts and future prospects. Brookings Papers on Economic Activity, 1982(1), 1-56.
Coudert, V., & Raymond, H. (2011). Gold and financial assets: are there any safe havens in bear markets. Economics Bulletin, 31(2), 1613-1622.
D'Arista, J. (2009). The evolving international monetary system. Cambridge Journal of Economics, 33(4), 633-652.
DeBenedictis, L.F., & David, E.A.G. (2016). Diagnostic testing in econometrics: Variable addition, reset, and Fourier approximations, 1996. Available online: https://www.uvic.ca/socialsciences/economics/assets/docs/seminars/freset.pdf. Date of access: 20 March 2021.
Dey, S. (2016). Historical Events and the Gold Price. Indian Institute of Management, Working Paper IIMK/WPS/198/EA/2016/09 May 2016 p 1-27. Available online: https://ideas.repec.org/p/iik/wpaper/198.html. Date of access: 20 March 2021.
Dornbusch, R., Fischer, S. & Startz, R. (2014). Macroeconomics. 12th Ed. New - York: McgrawHill.
Elwell, C.K. (2011). Brief history of the gold standard in the United States. Congressional Research Service. Available online: https://fas.org/sgp/crs/misc/R41887.pdf. Date of access: 4 April 2021.
Gale, W. (2009). Fiscal Policy with High Debt and Low Interest Rates. The Aspen Institute: Economic Strategy Group. Available online: https://www.brookings.edu/wp-content/uploads/2019/08/Gale-Aspen-revised.pdf. Date of access: 6 March 2021.
Gault. J. (2015). How does the gold price compare to other macroeconomic indicators? Available online: https://www.chathamhouse.org/sites/files/chathamhouse/field/field_document/0212gt_gaultppt.pdf. Date of access: 19 March 2021.
Ghosh, D., Levin, E.J., Macmillan, P., & Wright, R.E. (2004). Gold as an inflation hedge?. Studies in Economics and Finance, 22(1), 1-25.
Habib, M.M., Mileva, E., & Stracca, L. (2017). The real exchange rate and economic growth: Revisiting the case using external instruments. Journal of International Money and Finance, (1)73, 386-398.
Hergt, B. (2013). “Gold Prices during and after the Great Recession.” Beyond the Numbers: Prices and Spending. Available online:http://www.bls.gov/opub/btn/volume-2/gold-prices-during-and-after-the-greatrecession.htm. Date of access: 17 April 2021.
ICE Benchmark Administration Limited (IBA). (2020). Gold Fixing Price 10:30 A.M. (London time) in London Bullion Market, based in US Dollars , retrieved from FRED (Federal Reserve Bank of St. Louis. Available online: https://fred.stlouisfed.org/series/GOLDAMGBD228NLBM. Date of access: 26 March 2021.
Igwe, I.O. (2018). History of the international economy: The Bretton Woods system and its impact on the economic development of developing countries. Athens Journal of Law, 4(2), 105-126.
Joy, M. (2011). Gold and the US dollar: Hedge or haven? Finance Research Letters, 8(3), 120-131.
Keightley, M.P., Labonte, M., & Stupak, J.M. (2016). Slow growth in the current US economic expansion. Library of Congress, Congressional Research Service.
Khan, H. (2015). The Impact of Oil and Gold Prices on the GDP Growth: Empirical Evidence from a Developing Country. International Journal of Management Science and Business Administration, 1(11), 34-46.
Kim, M.H., & Dilts, D.A. (2011). The relationship of the value of the Dollar, and the prices of gold and oil: a tale of asset risk. Economics Bulletin, 31(2), 1151-1162.
Klein, A.G., Gerhard, C., Büchner, R.D., Diestel, S., & Schermelleh-Engel, K. (2016). The detection of heteroscedasticity in regression models for psychological data. Psychological Test and Assessment Modeling, 58(4), 567.
Kogid, M., Asid, R., Lily, J., Mulok, D., & Loganathan, N. (2012). The Effect of Exchange Rates on Economic Growth: Empirical Testing on Nominal versus Real. IUP Journal of Financial Economics, 10(1): 7-17.
Kose, A., Lakatos, C., Ohnsorge, F.L., & Stocker, M. (2017). The global role of the US economy: Linkages, policies and spill overs. The World Bank. Available Online: https://www.econstor.eu/bitstream/10419/166746/1/884608719.pdf. Date of access: 5 April 2021.
Larosei, N. & Molly, F. (2016). Understanding the Importance of Commodities: How Price Movements in Commodities Affect Different Sectors. Degree project technology, first cycle. Stockholm, Sweden. Available online: https://www.diva-portal.org/smash/get/diva2:942691/FULLTEXT01.pdf. Date of access: 2 April 2021.
Lee, J., & Yue, C. (2017). Impacts of the US dollar (USD) exchange rate on economic growth and the environment in the United States. Energy Economics, 64, 170-176.
Lin, F.L., Chen, Y.F., & Yang, S.Y. (2016). Does the value of US dollar matter with the price of oil and gold? A dynamic analysis from time–frequency space. International Review of Economics & Finance, 43, 59-71.
Lin, J.L. (2008). Notes on testing causality. Institute of Economics, Academia Sinica, Department of Economics, National Chengchi University. Available online: http://faculty.ndhu.edu.tw/~jlin/files/causality.pdf. Date of access: 15 March 2021.
Mashayekhi, B., Ara, M. S., & Jafari, A. (2013). Gold Price and Exchange Rate Volatility: Effects of Economic Sanctions. In International Journal of Information Technology and Management, 4(1), 121-127
Meyer, D.F. (2018). An Analysis of the Impact of Economic Growth, Political Instability and Exchange Rate on Tourism Growth in South Africa. In Proceedings of the 11th International RAIS Conference on Social Sciences (pp. 22-31). Scientia Moralitas Research Institute.
Mo, B., Nie, H., & Jiang, Y. (2018). Dynamic linkages among the gold market, US dollar and crude oil market. Physica A: Statistical Mechanics and its Applications, 491, 984-994.
Murach, M. (2019). Global Determinants of the Gold Price: A Multivariate Co-integration Analysis. Scottish Journal of Political Economy, 66(1), 198-214.
Nair, G.K., Choudhary, N., & Purohit, H. (2015). The relationship between gold prices and exchange value of US Dollar in India. EMAJ: Emerging Markets Journal, 5(1), 17-25.
Ocampo, J.A. (2016). A brief history of the international monetary system since Bretton Woods. In Journal of Documento de Trabajo, 1(97).
O'Connor, F.A., & Lucey, B.M. (2012). Gold’s Currency Characteristics and its Negative Relationship with the US Dollar. The Alchemist, 66(1): 1.
O'Connor, F.A., Lucey, B.M., Batten, J.A., & Baur, D.G. (2015). The financial economics of gold—A survey. International Review of Financial Analysis, 41, 186-205.
Pukthuanthong, K., & Roll, R. (2011). Gold and the Dollar (and the Euro, Pound, and Yen). Journal of Banking & Finance, 35(8), 2070-2083.
PWC. (2013). The direct economic impact of gold – World Gold Council. Available online: https://www.gold.org/sites/default/files/documents/PWC_direct_economic_impact_of_gold.pdf. Date of access: 17 March 2021.
Reboredo, J.C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
Reboredo, J.C., & Rivera-Castro, M.A. (2014). Wavelet-based evidence of the impact of oil prices on stock returns. International Review of Economics & Finance, 29, 145-176.
Rodrik, D. (2008). The real exchange rate and economic growth. Brookings papers on economic activity, 2008(2), 365-412.
Ronayne, D. (2011). Which impulse response function? (No. 2068-2018-2263). Available online: https://www.researchgate.net/publication/241769290_Which_Impulse_Response_Function. Date of access: 19 February 2021.
Samanta, S.K., & Zadeh, A.H. (2012). Co-movements of oil, gold, the US dollar, and stocks. Journal of Modern Economy, 3(1), 111-117.
Samanta, S.K., & Zadeh, A.H. (2012). Co-movements of oil, gold, the US dollar, and stocks. Available online: https://www.scirp.org/html/15-7200214_16837.htm. Date of access: 15 May 2021.
Shen, Z. (2014). How the US dollar index affects gold prices. A research project submitted in partial fulfilment of the requirements for the degree of Master of Finance. Saint Mary’s University: Zhengyuan Shen
Siggiridou, E., & Kugiumtzis, D. (2015). Granger causality in multivariate time series using a time-ordered restricted vector autoregressive model. IEEE Transactions on Signal Processing, 64(7), 1759-1773.
Sjaastad, L.A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
Sujit, K.S, & Kumar, B.R. (2011). Study on dynamic relationship among gold price, oil price, exchange rate and stock market returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
US Bureau of Economic Analysis. Real Gross Domestic Product Retrieved from FRED, Federal Reserve Bank of St. Louis. Available online: https://fred.stlouisfed.org/series/GDPC1. Date of access: 26 March 2021.
Vinokurov, E., Demidenko, M., Korshunov, D., & Kovacs, M. (2017). Customs unions, currency crises, and monetary policy coordination: The case of the Eurasian Economic Union. Russian Journal of Economics, 3(3), 280-295.
Williams, R. (2015). Serial Correlation: A brief overview – University of Notre Dame. Available online: https://www3.nd.edu/~rwilliam/stats2/l26.pdf. Date of access: 3 April 2021.
Yaya, M.E., & Lu, X. (2012). The short-run relationship between real effective exchange rate and balance of trade in China. International Journal of Applied Economics, 9(1), 15-27.
Zagaglia, P., & Marzo, M. (2013). Gold and the US dollar: tales from the turmoil. Quantitative Finance, 13(4), 571-582.
Zivot, E., & Wang, J. (2006). Vector autoregressive models for multivariate time series. Modelling Financial Time Series with S-Plus®, 385-429.
Published
2021-07-26
How to Cite
Neethling, R., & Meyer, D. (2021). An assessment of the classical relationship of price fluctuations between the gold market and the US Dollar. : Array. Acta Universitatis Danubius. Œconomica, 17(4). Retrieved from https://dj.univ-danubius.ro/index.php/AUDOE/article/view/1226
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Economic Development, Technological Change, and Growth
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