Gold Prices, Causal Relation of Factors Affecting It: Indian Context

The present study examines the long term and short term relations of factors affecting gold prices in the Indian context from 2009 to 2018. The study uses Johansen's co-integration and error correction model. Further to study the effect of orthogonalized shock of variables on gold prices the im...

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Bibliographic Details
Published in:SCMS journal of Indian management 2019-10, Vol.16 (4), p.41-53
Main Author: Jayasree, M
Format: Article
Language:English
Subjects:
American dollar
Causality
Crude oil
Crude oil prices
Eurozone
Foreign exchange rates
Gold markets
Investments
Long term
Market prices
Securities markets
Stock exchanges
Stock market indexes
Trends
Variables
Volatility
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Summary:The present study examines the long term and short term relations of factors affecting gold prices in the Indian context from 2009 to 2018. The study uses Johansen's co-integration and error correction model. Further to study the effect of orthogonalized shock of variables on gold prices the impulse response function is used and the variance decomposition of the variables is done to understand the explanatory power of each variable contributing to change in gold prices. The study has significant evidence that gold has long term association with crude oil prices, Inflation, Nifty 50 and Exchange rate and that shock in all the variables causes permanent effect on gold prices. Among all the variables, inflation had 38.79% explanatory power for gold prices in the long term.
ISSN:0973-3167