Author: Larry A. SjaastadPublisher:
ISBN: 9781863424585
Category : Foreign exchange rates
Languages : en
Pages : 24
Book Description
The Price of Gold and the Exchange Rates
Author: Larry A. SjaastadPublisher:
ISBN: 9781863424585
Category : Foreign exchange rates
Languages : en
Pages : 24
Book Description
Exchange Rates, Country Preferences, and Gold
Author: Michael P. DooleyPublisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 60
Book Description
This paper provides indirect tests of the hypothesis that exchange rate movements may be largely coterminus with changes in preferences for holding claims on different countries. It is argued that changes in country preferences will be reflected systematically in the price of gold and, hence, that gold price movements, under the maintained hypothesis, should have explanatory power with respect to exchange rate movements over and above the effects of monetary shocks. The paper applies multivariate vector autoregression and cointegration modeling techniques to test for the short- and long-run influence of gold prices on exchange rates conditional on other monetary and real macroeconomic variables, and applies the resulting error correction exchange rate equation to out-of-sample forecasting exercises.
The Price of Gold and the Exchange Rates
Author: Larry A. SjaastadPublisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 14
Book Description
The Intrinsic Value of Gold
Author: Richard D. F. HarrisPublisher:
ISBN:
Category :
Languages : en
Pages : 33
Book Description
In this paper, we propose a gold price index that enables market participants to separate the change in the 'intrinsic' value of gold from changes in global exchange rates. The index is a geometrically weighted average of the price of gold denominated in different currencies, with weights that are proportional to the market power of each country in the global gold market, where market power is defined as the impact that a change in a country's exchange rate has on the price of gold expressed in other currencies. We use principal components analysis to reduce the set of global exchange rates to four currency 'blocs' representing the U.S. dollar, the euro, the commodity currencies and the Asian currencies. We estimate the weight of each currency bloc in the index in an error correction framework using a broad set of variables to control for the unobserved intrinsic value. We show that the resulting index is less volatile than the USD price of gold and, in contrast with the USD price of gold, has a strong negative relationship with global equities and a strong positive relationship with the VIX index, both of which underline the role of gold as a safe haven asset.
The Price of Gold and the Exchange Rates
Author: Larry A. SjaastadPublisher:
ISBN: 9780864224316
Category : Foreign exchange rates
Languages : en
Pages : 24
Book Description
The Gold-dollar System
Author: Milton GilbertPublisher: Princeton, N.J. : International Finance Section, Princeton University
ISBN:
Category : Business & Economics
Languages : en
Pages : 76
Book Description
The Determinants of Gold Rice in US Dollars and Lebanese Pounds
Author: Levon KaribianPublisher:
ISBN:
Category : Gold
Languages : en
Pages : 0
Book Description
Gold is a scarce commodity and has become a rare metal; currently, 165,000 metric tons of gold exists above ground. Between 1870 and 1900 all major industrial countries, other than China, switched to the gold standard, linking their currencies to gold; hence, the gold standard was adopted. The present research project aims to study and analyze the relationship between gold prices on one hand, and the Brent oil prices, the Dow Jones Industrial Average (DJIA), Consumer Price Index (CPI), and Euro/USD exchange rate, on the other hand. The study manifests numerous findings as well as the interesting and important relationship of the aforementioned assets. Taking into consideration Toros Sajians (2006) empirical study about the price determinants of gold, a comparison was made and unit root tests were carried out on his sample (January 1997-March 2005), as well as on our sample. Elasticities on the log-levels and levels, with and without lagged dependent variables, were calculated and our ...
Exchange Rates, Country Preferences, and Gold
Author: Michael P. DooleyPublisher:
ISBN:
Category :
Languages : en
Pages : 30
Book Description
This paper provides indirect tests of the hypothesis that exchange rate movements may be largely coterminus with changes in preferences for holding claims on different countries. It is argued that changes in country preferences will be reflected systematically in the price of gold and, hence, that gold price movements, under the maintained hypothesis, should have explanatory power with respect to exchange rate movements over and above the effects of monetary shocks. The paper applies multivariate vector autoregression and cointegration modeling techniques to test for the short- and long-run influence of gold prices on exchange rates conditional on other monetary and real macroeconomic variables, and applies the resulting error correction exchange rate equation to out-of-sample forecasting exercises.
Exchange Rates, Country Preferences, and Gold
Author: Mr.Peter IsardPublisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451847024
Category : Business & Economics
Languages : en
Pages : 0
Book Description
This paper provides indirect tests of the hypothesis that exchange rate movements may be largely coterminus with changes in preferences for holding claims on different countries. It is argued that changes in country preferences will be reflected systematically in the price of gold and, hence, that gold price movements, under the maintained hypothesis, should have explanatory power with respect to exchange rate movements over and above the effects of monetary shocks. The paper applies multivariate vector autoregression and cointegration modeling techniques to test for the short-and long-run influence of gold prices on exchange rates conditional on other monetary and real macroeconomic variables, and applies the resulting error correction exchange rate equation to out-of-sample forecasting exercises.
Modern Perspectives on the Gold Standard
Author: Tamim BayoumiPublisher: Cambridge University Press
ISBN: 0521571693
Category : Business & Economics
Languages : en
Pages : 432
Book Description
Currency crises in Europe and Mexico during the 1990s provided stark reminders of the importance and the fragility of international financial markets. These experiences led some commentators to conclude that open international capital markets are incompatible with financial stability. But the pre-1914 gold standard is an obvious challenge to the notion that open capital markets are sources of instability. To deepen our understanding of how this system worked, this volume draws together recent research on the gold standard. Theoretical models are used to guide qualitative discussions of historical experience, while econometric methods are used to help the historical data speak clearly. The result is an overview of the gold standard, a survey of the relevant applied research in international macroeconomics, and a demonstration of how the past can help to inform the present.