The Open UniversitySkip to content
 

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.

Full text available as:
[img]
Preview
PDF (Accepted Manuscript) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (894kB) | Preview
DOI (Digital Object Identifier) Link: https://doi.org/10.1016/j.irfa.2014.07.001
Google Scholar: Look up in Google Scholar

Abstract

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)
Related URLs:
Item ID: 55378
Depositing User: Tomasz Wisniewski
Date Deposited: 12 Jun 2018 09:13
Last Modified: 13 Nov 2019 23:45
URI: http://oro.open.ac.uk/id/eprint/55378
Share this page:

Metrics

Altmetrics from Altmetric

Citations from Dimensions

Download history for this item

These details should be considered as only a guide to the number of downloads performed manually. Algorithmic methods have been applied in an attempt to remove automated downloads from the displayed statistics but no guarantee can be made as to the accuracy of the figures.

Actions (login may be required)

Policies | Disclaimer

© The Open University   contact the OU