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https://doi.org/10.2478/zireb-2021-0010

Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test

Syed Ali Raza orcid id orcid.org/0000-0002-0245-6277 ; Iqra University Karachi, PAKISTAN
Nida Shah ; Iqra University Karachi, PAKISTAN
Muhammad Ali ; Department of Accounting & Finance, Institute of Business Management, Karachi
Muhammad Shahbaz ; Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing, China


Puni tekst: engleski pdf 634 Kb

str. 37-57

preuzimanja: 382

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Sažetak

In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange. The gold and exchange rate nexus become prominent after events like sovereign debt crisis, subprime mortgage crisis, low-interest rate problem, and global financial market solvency. These events attract the attention of researchers and academician for investigating the dynamics of the relationship between gold and exchange rates, and the majority of the studies discusses the linear dynamics, but the non-linear dynamics are ignored. Therefore, the current research investigates the non-linear dynamics of gold price and exchange rate relationship in G7 countries using the new technique named the nonparametric causality approach. This study uses monthly data from the years 1995(January)-2017 (March). The empirical results show that exchange rate return causes gold prices in four out of G7, especially at the low tails. This study also gives valuable insights for monetary policymakers, gold exporter’s international portfolio managers, and hedge fund managers.

Ključne riječi

Gold Prices; Exchange Rates; Non-Parametric Causality Approach; G7 Countries

Hrčak ID:

265781

URI

https://hrcak.srce.hr/265781

Datum izdavanja:

15.11.2021.

Posjeta: 757 *