Global Determinants of the Gold Price: A Multivariate Cointegration Analysis

17 Pages Posted: 7 Jan 2019

See all articles by Michael Murach

Michael Murach

University of Hagen (FernUniversitaet in Hagen)

Date Written: February 2019

Abstract

The present paper follows publications which have investigated the influence of global liquidity developments on commodity prices and asset price indices. It contributes to the literature by analyzing how global developments in money, output, and inflation can be related to developments in gold prices in a long‐run perspective. Applying a multivariate cointegration (CVAR) analysis, this study investigates long‐run relationships between these variables. The results suggest a significant influence of excess global liquidity on real gold prices and a co‐movement of real gold prices and global inflation.

Suggested Citation

Murach, Michael, Global Determinants of the Gold Price: A Multivariate Cointegration Analysis (February 2019). Scottish Journal of Political Economy, Vol. 66, Issue 1, pp. 198-214, 2019, Available at SSRN: https://ssrn.com/abstract=3310514 or http://dx.doi.org/10.1111/sjpe.12190

Michael Murach (Contact Author)

University of Hagen (FernUniversitaet in Hagen) ( email )

Universitätsstrasse 41
Hagen, 58084
Germany

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