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The gold price in times of crisis

Białkowski, Jędrzej; Bohl, Martin T.; Stephan, Patrick M. and Wisniewski, Tomasz P. (2015). The gold price in times of crisis. International Review of Financial Analysis, 41 pp. 329–339.

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Motivated by the recent gold price boom, this paper examines whether an asset bubble exists in the gold market. We approximate gold's fundamental value using several econometric models and apply a Markov regime-switching Augmented Dickey–Fuller (ADF) test which has substantial power for detecting explosive behavior. Although our results are sensitive to the specification of the fundamental value, we show that a model accounting for the current European sovereign debt crisis accurately tracks the gold price observed in the market. We also note that inflation in a general commodity price index and gold ETF demand have a potential to explain the price trajectory.

Item Type: Journal Item
Copyright Holders: 2014 Elsevier Inc.
ISSN: 1057-5219
Keywords: gold price; speculative bubble; Markov regime-switching ADF test; global financial crisis; European sovereign debt crisis
Academic Unit/School: Faculty of Business and Law (FBL) > Business > Department for Accounting and Finance
Faculty of Business and Law (FBL) > Business
Faculty of Business and Law (FBL)
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Item ID: 55378
Depositing User: Tomasz Wisniewski
Date Deposited: 12 Jun 2018 09:13
Last Modified: 13 Nov 2019 23:45
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