Portal de Periódicos da CAPES

On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test

2016; Springer Science+Business Media; Volume: 14; Issue: 4 Linguagem: Inglês

10.1007/s10368-016-0357-z

1612-4812

Mehmet Balcılar, Rangan Gupta, Christian Pierdzioch,

Monetary Policy and Economic Impact

The links between exchange-rate movements and gold-price fluctuations have been extensively studied in earlier research using various econometric techniques. Our contribution to this research is that we apply a novel nonparametric causality-in-quantiles test to study the causal links between exchange-rate movements and gold-price fluctuations. We use daily data for the sample period 1994–2015 for major gold-producing countries to illustrate the novel test. We find that, for the majority of countries, gold-price fluctuations help to predict in sample the returns and the volatility of exchange rates. While exchange-rate movements predict in sample gold volatility, they do not predict gold returns.