Based on a time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model,the time-varying effects and country differences of economic policy uncertainty(EPU)on gold prices from A...Based on a time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model,the time-varying effects and country differences of economic policy uncertainty(EPU)on gold prices from August 2006 to December 2017 were examined.The results show that the effects of global economic policy uncertainty(GEPU)shock on gold prices change over time.The changes were positive during 2006-2008 and 2013-2017,while the impacts were negative during 2009-2012,implying that the efficiency of gold as a safe haven is not stable and depends on economic conditions.There are significant country differences regarding the impact of EPU on the price of gold,particularly during the international financial crisis,European debt crisis and Trump election.During the international financial crisis,EPU exerts a positive impact on gold prices in most countries.During the European debt crisis,the impact of EPU on gold prices is mainly negative in the examined countries.While during the Trump election,the impact displays positive and negative alternating in most countries.展开更多
Gold is used as a currencies comparative measure and,because of its properties(it does not rust)and use(in space industry,for example),it has a significant role in balancing both financial markets and economies.During...Gold is used as a currencies comparative measure and,because of its properties(it does not rust)and use(in space industry,for example),it has a significant role in balancing both financial markets and economies.During crises,gold seldom loses value.We aim to show that price of gold is a stabilizing factor for the economic balance.We will do so utilizing the chaos theory,which gains more and more popularity in social sciences.展开更多
Gold price is affected by a variety of factors and has highly nonlinear and random features. Some traditional forecast methods emphasize linear relations excessively and some ignore the price randomness. The predictiv...Gold price is affected by a variety of factors and has highly nonlinear and random features. Some traditional forecast methods emphasize linear relations excessively and some ignore the price randomness. The predictive error is relatively large. Therefore, a BP neural network model based on principal component analysis (PCA) and genetic algorithm (GA) was proposed for the short-term prediction of gold price. BP could establish the gold price forecasting model. The weights and thresholds of BP neural network are optimized by GA, which overcome the shortcoming that BP algorithm falls into local minimum easily. PCA can effectively simplify the network input variables and speed up the convergence. The results showed that, compared with GA-BP and BP, the convergence rate of PCA-GA-BP neural network model was faster and the prediction accuracy was higher in the prediction of gold price.展开更多
The continuous rise in global environmental challenges has led to urgency toward establishing a secure framework to achieve sustainable development goals.This study establishes a novel theoretical framework to analyze...The continuous rise in global environmental challenges has led to urgency toward establishing a secure framework to achieve sustainable development goals.This study establishes a novel theoretical framework to analyze the role of energy prices,energy consumption,gold prices and economic growth on environmental degradation in newly industrialized economies.To realize sustainable development goals and foster environmental defence,this study utilizes CS-ARDL as the main econometric approach to investigate the asymmetric association between environmental degradation and relevant factors.We also use AMG,CS-DL,Driscoll-Kray and FGLS to enhance the robustness of our findings.Our econometric approach reveals that energy resource prices and renewable energy consumption reduce environmental degradation,while gold prices and fossil energy consumption elevate environmental pollutants.We also confirm the existence of the EKC hypothesis.The findings of our extensive analysis paved the way for a welldesigned environmental policy for NIC economies should focus on renewable energy consumption,green investments,and structural changes.展开更多
This paper proposes an interval method to explore the relationship between the exchange rate of Australian dollar against US dollar and the gold price, using weekly, monthly and quarterly data. With the interval metho...This paper proposes an interval method to explore the relationship between the exchange rate of Australian dollar against US dollar and the gold price, using weekly, monthly and quarterly data. With the interval method, interval sample data are formed to present the volatility of variables. The ILS approach is extended to multi-model estimation and the computational schemes are provided. The empirical evidence suggests that the ILS estimates well characterize how the exchange rate relates to the gold price, both in the long-run and short-run. The comparison between the interval and point methods indicates that the difference between the OLS and the ILS estimates is increasing from weekly data to quarterly data, since the lowest frequency point data lost the most information of volatility.展开更多
Gold has multiple attributes and its price is affected by various factors in the market.This paper studies the dynamic relationship between the gold price returns and its affecting factors.Then we use the STL-ETS,neur...Gold has multiple attributes and its price is affected by various factors in the market.This paper studies the dynamic relationship between the gold price returns and its affecting factors.Then we use the STL-ETS,neural network and Bayesian structural time series model to predict the gold price returns,and compare their performance with the benchmark models.The results show that the shocks of crude oil returns and VIX have the positive effect on gold price returns,the shocks of the US dollar index have the negative effect on gold price returns.And the fluctuation of gold price returns mainly depends on crude oil price returns shocks.STL-ETS model can accurately fit the fluctuation trend of the gold price returns and improve prediction accuracy.展开更多
Gold is regarded as a strategic mineral in many countries and its price is a key indicator of global business confidence. There is need for dynamic modelling of the world gold market, which would enhance understanding...Gold is regarded as a strategic mineral in many countries and its price is a key indicator of global business confidence. There is need for dynamic modelling of the world gold market, which would enhance understanding of the world market conditions, especially the long-term tendency of world gold prices, and hence facilitate long-term planning. This study incorporates inventories into the world market model and uses simultaneous equation approaches to estimate the model. From this estimation, the paper derives the time-path for the world annual price of gold. Results show that the price time-path converges without oscillations, from below, towards an intertemporal equilibrium. This equilibrium is estimated at about US$105,000.00 per kilogram based on a projected average world income. If the assumption of average income is relaxed, the intertemporal equilibrium price becomes variable dependent on the actual values of world income at a given time, which however, does not alter its dynamic characteristics. The results, therefore, show that gold price is dynamically stable. Short-term fluctuations, which are sometimes extreme, have no long-term effect on gold attractiveness.展开更多
Gold is always a precious metal for many hundred years. Semi flexible gold demand and supply chain determines international gold prices in the long term. USA is ranked the world’s largest gold producer. This study ma...Gold is always a precious metal for many hundred years. Semi flexible gold demand and supply chain determines international gold prices in the long term. USA is ranked the world’s largest gold producer. This study mainly aims to investigate the dynamic factors which affect the price of gold and determine the essential macro-economic variable that has the most important role during the process. This paper examines USA over 13 years applying a formal test for time series, which interrogate cointegration relationships, what is the affiliation between gold price and other factors, which are explained in detail below. The present study has used the monthly data from January, 2003 to June, 2016. Databases are provided by the Federal Reserve, the central bank of the United States, and United States Energy Information Administration. Data analysis was performed with software package EViews 8. Through the time series, an analysis has been carried out on Dow Jones Index, the US exchange rate, silver price, interest rate, oil price and inflation rate which are thought to influence the price of gold in the most significant way. The data analysis includes the determination of the conditional heteroscedastic model to estimate volatility. Therefore, the best fitting model to the data set, which is the exponential GARCH model, is preferred. In accordance with the results of the empirical analyses in the USA, the highest negative correlation is found between gold prices and US exchange rate. Secondly, a positive correlation is found among gold prices, silver prices, and oil prices. Another point which takes attention as a result of the study is that economic and political structural breaks weighed heavily, traders and hedgers from all over the world were able to drive prices up to incredible highs. The added valueof our study arises from the inclusion in the analysis of macro economic variables, which has proved to have crucial relevance for the price of gold in the context of the recent economic structure.展开更多
Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of society.It relies on peer-to-peer network,ac...Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of society.It relies on peer-to-peer network,achieved decentralization,anonymous and transparent.As the most representative digital currency,people curious to study how Bitcoin’price changes in the past.Methods:In this paper,we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index,US dollar index,Dow jones industry average,Federal Funds Rate and gold price influence Bitcoin price.Result:From empirical analysis we find that all these variables do have a long-term influence.US dollar index is the biggest influence on Bitcoin price while gold price influence the least.Conclusion:From our result,we conclude that for now Bitcoin can be treated as a speculative asset,however,it is far from being a proper credit currency.展开更多
This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physic...This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form.The trade of gold futures relates to seasons,festivity,and government policy.So,the paper will discuss seasonality and intervention in the analysis.Due to non-constant variance,we will also use the standard variance stabilization transformation method and the ARIMA/GARCH modelling method to compare the forecast performance on the gold futures prices.The results from the analysis show that while the standard variance transformation method may provide better point forecast values,the ARIMA/GARCH modelling method provides much shorter forecast intervals.The empirical results of this study which rationalise the effect of seasonality in the Indian bullion derivative market have not been reported in literature.展开更多
基金Projects(71633006,71874210,71874207,71573282) supported by the National Natural Science Foundation of China
文摘Based on a time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model,the time-varying effects and country differences of economic policy uncertainty(EPU)on gold prices from August 2006 to December 2017 were examined.The results show that the effects of global economic policy uncertainty(GEPU)shock on gold prices change over time.The changes were positive during 2006-2008 and 2013-2017,while the impacts were negative during 2009-2012,implying that the efficiency of gold as a safe haven is not stable and depends on economic conditions.There are significant country differences regarding the impact of EPU on the price of gold,particularly during the international financial crisis,European debt crisis and Trump election.During the international financial crisis,EPU exerts a positive impact on gold prices in most countries.During the European debt crisis,the impact of EPU on gold prices is mainly negative in the examined countries.While during the Trump election,the impact displays positive and negative alternating in most countries.
文摘Gold is used as a currencies comparative measure and,because of its properties(it does not rust)and use(in space industry,for example),it has a significant role in balancing both financial markets and economies.During crises,gold seldom loses value.We aim to show that price of gold is a stabilizing factor for the economic balance.We will do so utilizing the chaos theory,which gains more and more popularity in social sciences.
文摘Gold price is affected by a variety of factors and has highly nonlinear and random features. Some traditional forecast methods emphasize linear relations excessively and some ignore the price randomness. The predictive error is relatively large. Therefore, a BP neural network model based on principal component analysis (PCA) and genetic algorithm (GA) was proposed for the short-term prediction of gold price. BP could establish the gold price forecasting model. The weights and thresholds of BP neural network are optimized by GA, which overcome the shortcoming that BP algorithm falls into local minimum easily. PCA can effectively simplify the network input variables and speed up the convergence. The results showed that, compared with GA-BP and BP, the convergence rate of PCA-GA-BP neural network model was faster and the prediction accuracy was higher in the prediction of gold price.
基金the project titled“Cluster for innovative energy”in the frame of the program“HORIZON-MSCA-2022-SE-01”under the Grant agreement number 101129820.
文摘The continuous rise in global environmental challenges has led to urgency toward establishing a secure framework to achieve sustainable development goals.This study establishes a novel theoretical framework to analyze the role of energy prices,energy consumption,gold prices and economic growth on environmental degradation in newly industrialized economies.To realize sustainable development goals and foster environmental defence,this study utilizes CS-ARDL as the main econometric approach to investigate the asymmetric association between environmental degradation and relevant factors.We also use AMG,CS-DL,Driscoll-Kray and FGLS to enhance the robustness of our findings.Our econometric approach reveals that energy resource prices and renewable energy consumption reduce environmental degradation,while gold prices and fossil energy consumption elevate environmental pollutants.We also confirm the existence of the EKC hypothesis.The findings of our extensive analysis paved the way for a welldesigned environmental policy for NIC economies should focus on renewable energy consumption,green investments,and structural changes.
基金supported by the National Natural Science Foundation of China,Research Granting Committee of Hong Kong and Chinese Academy of Sciences
文摘This paper proposes an interval method to explore the relationship between the exchange rate of Australian dollar against US dollar and the gold price, using weekly, monthly and quarterly data. With the interval method, interval sample data are formed to present the volatility of variables. The ILS approach is extended to multi-model estimation and the computational schemes are provided. The empirical evidence suggests that the ILS estimates well characterize how the exchange rate relates to the gold price, both in the long-run and short-run. The comparison between the interval and point methods indicates that the difference between the OLS and the ILS estimates is increasing from weekly data to quarterly data, since the lowest frequency point data lost the most information of volatility.
基金supported by the National Natural Science Foundation of China(NSFC)(71874133)the Annual Basic Scientific Research Project of Xidian University(2019)
文摘Gold has multiple attributes and its price is affected by various factors in the market.This paper studies the dynamic relationship between the gold price returns and its affecting factors.Then we use the STL-ETS,neural network and Bayesian structural time series model to predict the gold price returns,and compare their performance with the benchmark models.The results show that the shocks of crude oil returns and VIX have the positive effect on gold price returns,the shocks of the US dollar index have the negative effect on gold price returns.And the fluctuation of gold price returns mainly depends on crude oil price returns shocks.STL-ETS model can accurately fit the fluctuation trend of the gold price returns and improve prediction accuracy.
文摘Gold is regarded as a strategic mineral in many countries and its price is a key indicator of global business confidence. There is need for dynamic modelling of the world gold market, which would enhance understanding of the world market conditions, especially the long-term tendency of world gold prices, and hence facilitate long-term planning. This study incorporates inventories into the world market model and uses simultaneous equation approaches to estimate the model. From this estimation, the paper derives the time-path for the world annual price of gold. Results show that the price time-path converges without oscillations, from below, towards an intertemporal equilibrium. This equilibrium is estimated at about US$105,000.00 per kilogram based on a projected average world income. If the assumption of average income is relaxed, the intertemporal equilibrium price becomes variable dependent on the actual values of world income at a given time, which however, does not alter its dynamic characteristics. The results, therefore, show that gold price is dynamically stable. Short-term fluctuations, which are sometimes extreme, have no long-term effect on gold attractiveness.
文摘Gold is always a precious metal for many hundred years. Semi flexible gold demand and supply chain determines international gold prices in the long term. USA is ranked the world’s largest gold producer. This study mainly aims to investigate the dynamic factors which affect the price of gold and determine the essential macro-economic variable that has the most important role during the process. This paper examines USA over 13 years applying a formal test for time series, which interrogate cointegration relationships, what is the affiliation between gold price and other factors, which are explained in detail below. The present study has used the monthly data from January, 2003 to June, 2016. Databases are provided by the Federal Reserve, the central bank of the United States, and United States Energy Information Administration. Data analysis was performed with software package EViews 8. Through the time series, an analysis has been carried out on Dow Jones Index, the US exchange rate, silver price, interest rate, oil price and inflation rate which are thought to influence the price of gold in the most significant way. The data analysis includes the determination of the conditional heteroscedastic model to estimate volatility. Therefore, the best fitting model to the data set, which is the exponential GARCH model, is preferred. In accordance with the results of the empirical analyses in the USA, the highest negative correlation is found between gold prices and US exchange rate. Secondly, a positive correlation is found among gold prices, silver prices, and oil prices. Another point which takes attention as a result of the study is that economic and political structural breaks weighed heavily, traders and hedgers from all over the world were able to drive prices up to incredible highs. The added valueof our study arises from the inclusion in the analysis of macro economic variables, which has proved to have crucial relevance for the price of gold in the context of the recent economic structure.
基金This work was supported by the Key Plan of National Social Science Foundation of China under the Grant 14ZDA044.
文摘Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of society.It relies on peer-to-peer network,achieved decentralization,anonymous and transparent.As the most representative digital currency,people curious to study how Bitcoin’price changes in the past.Methods:In this paper,we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index,US dollar index,Dow jones industry average,Federal Funds Rate and gold price influence Bitcoin price.Result:From empirical analysis we find that all these variables do have a long-term influence.US dollar index is the biggest influence on Bitcoin price while gold price influence the least.Conclusion:From our result,we conclude that for now Bitcoin can be treated as a speculative asset,however,it is far from being a proper credit currency.
基金supported by the Fulbright-Nehru Doctoral Research program(Award No.2447/DR/2019-2020).
文摘This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form.The trade of gold futures relates to seasons,festivity,and government policy.So,the paper will discuss seasonality and intervention in the analysis.Due to non-constant variance,we will also use the standard variance stabilization transformation method and the ARIMA/GARCH modelling method to compare the forecast performance on the gold futures prices.The results from the analysis show that while the standard variance transformation method may provide better point forecast values,the ARIMA/GARCH modelling method provides much shorter forecast intervals.The empirical results of this study which rationalise the effect of seasonality in the Indian bullion derivative market have not been reported in literature.
