Modelling the glitter in gold

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.3/82128

Title: Modelling the glitter in gold
Author(s): Kumar, Kuldeep; Rajaguru, Gulasekaran; Shrivastava, Samir
Abstract: Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of the gold price.
Publication type: Journal article
Source: Advances and Applications in Statistics, Vol. 13, no. 2 (Dec 2009), pp. 225-239
Publication year: 2009
FOR Code(s): 0104 Statistics
Keyword(s): Cointegration; Gold prices; Index of consumer sentiment; Oil prices; VECM
Publisher: Pushpa Publishing House
ISSN: 0972-3617
Publisher URL: http://pphmj.com/abstract/4450.htm
Peer reviewed