Analysis of factors affecting gold price in the world market in the 21st century under uncertain circumstances.
Article Sidebar
Main Article Content
Abstract
Gold was precious in ancient times for religious ceremonies. That currently applies to international reserves and investments. But over the past two decades, gold prices have fluctuated. The study aims to analyze factors affecting gold prices and the long-term equilibrium relationship of gold prices together with the essential economic variables of the US, including the USD, policy interest rate, bond yield, consumer price index, Nasdaq stock indexes, and crude oil prices. The methods of this study used the VAR model with modern econometric tools developed from traditional methods, which are 1) unit root test. 2) long-term equilibrium relationship by cointegration test. 3) test for a cause-effect relationship between variables by causality. 4) analyze impulse-response function, and 5) analyze variance decomposition, using 252 monthly time series data from 2001-2021. The results show that: 1) Gold prices have a long-term equilibrium relationship with the USD, policy interest rate, bond yield, consumer price index, Nasdaq stock indexes, and crude oil prices by cointegration test. 2) USD and inflation are the main that affects the gold price. When the USD strengthens, the gold price will decrease. As inflation increases, gold prices increase by causality test. 3) The shock of bond yields has an influence the greatest on gold price volatility by impulse-response function and variance decomposition test.
Article Details
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
The contents in Business Administration and Economics Review can be used for publication. But do not modify, modify or use it for trade and profit.
References
Altarturi, H. M., Alshammari, A., Saiti, B. & Erol, T. (2018). A three-way analysis of the relationship between the USD value and the prices of oil and gold: A wavelet analysis. AIMS Energy, Vol. 6, No. 3, 487–504.
Annonjarn, C. (2020). Financial Market and Institutions: International Money Market. Nonthaburi: Sukhothai Thammathirat Open University.
Arfaoui, M. & Ben Rejeb, A. (2017). Oil, gold, US dollar and stock market interdependencies: a global analytical insight. European Journal of Management and Business Economics, Vol. 26, No.3, 278-293.
Charoenpanit, W. & Davivongs, K. (2015). Economic factors affecting g the price of gold in the world market. DPU Graduate Studies Journal, Vol.3 No.2, 227-237.
Chatanavin, A. (2020). Testing The Relationship Between Exchange Rate of Thailand, Gold Price, Crude Oil Price, Interest Rate, Stock Market Return and Bitcoin. Journal of the Association of Researchers, Vol. 25, No. 2, 334-347.
Chinpaisan, T. (2016). Business Finance and Business Law. Nonthaburi: Sukhothai Thammathirat Open University.
Ghalayini, L. & Farhat, S. (2020). Modeling and Forecasting Gold Prices. Journal of Economics and Business, Vol. 3, No. 4, 1708-1729.
Hashim, L.M. & Razali, H.A. (2017). Macroeconomic Variables Affecting the Volatility of Gold Price. Journal of Global Business and Social Entrepreneurship, Vol. 3, No. 5, 97–106.
Kraipornsak, P. (2011). Econometrics Method and Economic Model using Time Series Data. Bangkok: Chulalongkorn University.
Lili Li, Chengmei Diao. (2013). Research of the Influence of Macro-Economic Factors on the Price of Gold. Procedia Computer Science, Vol.17, 737 – 743.
Phaithayawat, S. & Kangwanpornsiri, K. (2018). Investments and Securities Analysis. Nonthaburi: Sukhothai Thammathirat Open University.
Phibulpanijkarn, N. (2015). The Analysis of Factors Influencing Gold Bar Prices in Thailand. Bangkok: Bangkok University.
Rangkakulnuwat, P. & Kongkhao, J. (2010). Factors affecting the price of gold bullion in Thailand. Chiang Mai University Journal of Economics, Vol. 14, No.2, 24-40.
Ratchalame, W. & Kanjanasamranwong, P. (2019). Factors Affecting Gold Bullion Price in Thailand. Journal of Science and Technology, Ubon Ratchathani University, Vol.21, No.1, 147-157.
Saelim, T. & Sutamuang, K. (2013). Factor Determining Changes in Price of Gold Spot. Journal of Finance, Investment, Marketing and Business Management, Vol. 3, No. 2, 376-393.
Saengchatsuwan, C. (2020). Financial Instruments Analysis and Credit Management: Bond Value Analysis. Nonthaburi: Sukhothai Thammathirat Open University.
Samanta, S. & Zadeh, A. (2012). Co-Movements of Oil, Gold, the US Dollar, and Stocks. Modern Economy, Vol. 3, No. 1, 111-117.
Parimi, S. (2018). Factor Influencing the Gold Prices: An Empirical Investigation in the Indian Context. Theoretical Economics Letters, Vol.8, 3444-3456.
Siksamat, S. (2018). International Business and Finance: foreign currency exchange. Nonthaburi: Sukhothai Thammathirat Open University.
Sindhu (2013). A study on impact of select factors on the price of Gold. IOSR Journal of Business and Management, Vol. 8, No. 4, 84-93.
Suthianramat, P. & Intraporm, P. (2012). Investment in gold in Thailand. Bangkok: Kasetsart University.
Taweekitikun, Y. (2019). Professional Experience in Finance: financial technology. Nonthaburi: Sukhothai Thammathirat Open University.
Thongpraphai, W. & Usawat, T. (2018). Factors Affecting the Price of Gold in Thailand. The 13th RSU National Graduate Research Conference, Vol.13, 1442-1450.
Vanitcharearnthum, V. (2019). Econometrics and Applications: Multivariate Time series Models. Nonthaburi: Sukhothai Thammathirat Open University.
Wanaset, A. (2010). Causal Relationship between Currencies in Five Southeast Asian Countries. Sukhothai Thammathirat Econaomic Journal, Vol. 5 No.1, 159 - 183.
Wetthayawikomrat, R. (2018). Factors Affecting Gold Prices in the World Market. Bangkok: Thammasat University.