Authors
Apergis, NicholasAffiliation
University of PiraeusIssue Date
2014-05-07
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This paper explores whether gold prices have a reliable out-of-sample relationship with the Australian dollar/US dollar nominal and real exchange rates using daily and quarterly data, respectively, spanning the period 2000–2012. Through an Error Correction Model (ECM), the empirical findings suggest that the out-of-sample predictive ability is strong and robust across short- and long-run horizons. The results could offer informational availability for monetary policymakers, hedge fund managers and international portfolio managers. They also provide additional support to the hypothesis that both markets are driven by the same information sets.Citation
Apergis, N., (2014). ‘Can gold prices forecast the Australian dollar movements?’. International Review of Economics & Finance, 29, pp.75-82. DOI: 10.1016/j.iref.2013.04.004Publisher
ElsevierJournal
International Review of Economics and FinanceAdditional Links
https://www.sciencedirect.com/science/article/pii/S1059056013000348Type
ArticleLanguage
enCollections
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Except where otherwise noted, this item's license is described as http://creativecommons.org/licenses/by-nc-nd/4.0/