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dc.contributor.authorApergis, Nicholas
dc.contributor.authorApergis, Hercules
dc.contributor.authorCooray, Arusha
dc.contributor.authorKhraief, Naceur
dc.date.accessioned2019-01-17T11:21:12Z
dc.date.available2019-01-17T11:21:12Z
dc.date.issued2019
dc.identifier.citationApergis, N., Cooray, A., Khraief, N. and Apergis, H. (2018) ‘Do gold prices respond to real interest rates? Evidence from the Bayesian Markov Switching VECM model’. Journal of International Financial Markets, Institutions and Money. DOI: 10.1016/j.intfin.2018.12.014.en
dc.identifier.doi10.1016/j.intfin.2018.12.014
dc.identifier.urihttp://hdl.handle.net/10545/623308
dc.description.abstractThe goal of this paper is to examine the transmission dynamics between the real interest rate and gold prices in the G7. The methodology follows the Bayesian Markov-Switching Vector Error-Correction (MS-VECM) model, along with regime-dependent impulse response functions, spanning the period 1975 to 2016. The findings suggest a positive association between gold prices and real interest rates, with the estimates remaining consistently positive and statistically significant across all G7 countries. The results indicate that gold prices can provide hedging services against real interest rate movements mainly during recessionary times. Our results continue to be robust when we extend the bivariate version of our modeling approach to include more drivers for gold prices.
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S1042443118300167en
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectgold pricesen
dc.subjectreal interest ratesen
dc.subjectMS-VECM modelen
dc.titleDo gold prices respond to real interest rates? Evidence from the Bayesian Markov switching VECM modelen
dc.typeArticleen
dc.contributor.departmentUniversity of Piraeuen
dc.contributor.departmentUniversity of Kenten
dc.contributor.departmentSri Lanka Embassyen
dc.contributor.departmentUniversité de Tunisen
dc.identifier.journalJournal of International Financial Markets, Institutions & Moneyen
dc.dateAccepted2018-12-26
html.description.abstractThe goal of this paper is to examine the transmission dynamics between the real interest rate and gold prices in the G7. The methodology follows the Bayesian Markov-Switching Vector Error-Correction (MS-VECM) model, along with regime-dependent impulse response functions, spanning the period 1975 to 2016. The findings suggest a positive association between gold prices and real interest rates, with the estimates remaining consistently positive and statistically significant across all G7 countries. The results indicate that gold prices can provide hedging services against real interest rate movements mainly during recessionary times. Our results continue to be robust when we extend the bivariate version of our modeling approach to include more drivers for gold prices.


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