The asymmetric effects of real interest rates and US dollar on gold prices

• Autor(a) principal: Antunes, João Carlos Lopes
• Data de Publicação: 2023
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/29878
• topic: Gold prices; Real interest rates; US dollar index; NARDL; Safe haven; Inflação -- inflation; Preço do ouro; Taxa de juro real; Índice do dólar; Ativo de refúgio

Historically, gold has played a central role at several levels. It has served as a store of wealth, as a mean of payment, and was the base in the Bretton Woods system, among others. Once gold is commonly accepted as a safe haven asset, in this paper the gold price determinants are analyzed, with special focus on the real interest rates. In order to model gold prices, an econometric model was estimated, considering the following variables: real interest rates from Germany and the United States, inflation from both economies, the S&P500 index, the dollar index and the uncertainty measures EPU, VIX and GPR. Within this set of variables, it was assessed the possible existence of asymmetric effects of the real interest rates from both economies and the dollar index on gold prices. In the long-term, negative changes in the German real interest rate have proven to be statistically significant to explain gold prices. In the short-term, both positive and negative changes of the US real interest rate exert a negative impact on gold prices. In respect to the dollar index, both in the short- and long-term, there is statistical evidence that this variable influences the gold prices. In the long-term, negative changes in the value of the dollar exert a negative impact on gold prices. In the short-term, positive changes of the dollar contribute to a decrease in gold prices. The impact of negative changes in the US dollar value, in the short-term, to gold is not evident.