The asymmetric effects of real interest rates and US dollar on gold prices
Autor(a) principal: | |
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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 |
Resumo: | 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. |
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The asymmetric effects of real interest rates and US dollar on gold pricesGold pricesReal interest ratesUS dollar indexNARDLSafe havenInflação -- inflationPreço do ouroTaxa de juro realÍndice do dólarAtivo de refúgioHistorically, 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.Historicamente, o ouro desempenhou um papel central em vários planos. Serviu de reserva de valor, meio de pagamento, serviu de base ao sistema de Bretton Woods, entre outros. Uma vez que o ouro é comumente aceite como um ativo de refúgio, nesta dissertação são analisados os determinantes do preço do ouro, com especial enfoque nas taxas de juro reais. Para modelizar o preço do ouro, foi estimado um modelo considerando como variáveis explicativas: taxas de juro reais da economia norte-americana e alemã, taxa de inflação de ambos os países, o índice S&P500, o índice do dólar americano e os índices de incerteza EPU, VIX e GPR. Dentro deste conjunto de variáveis foi avaliado o possível efeito assimétrico das taxas de juro reais de ambas economias e do índice cambial do dólar sobre o preço do ouro. No longo prazo, variações negativas da taxa de juro real alemã demonstram-se estatisticamente significativas para explicar o preço do ouro. No curto prazo, variações tanto positivas como negativas da taxa de juro real norte-americana exercem um impacto negativo sobre o preço do ouro. Relativamente ao índice cambial do dólar, tanto no curto como no longo prazo, há evidência estatística deste influenciar o preço do ouro. No longo prazo, variações negativas no valor do dólar influenciam negativamente o preço do ouro. No curto prazo, variações positivas do dólar levam a uma diminuição do preço do ouro. Variações negativas do dólar, no curto prazo, não demonstram uma relação clara sobre o ouro.2023-12-04T14:56:51Z2023-11-10T00:00:00Z2023-11-102023-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/29878TID:203407865engAntunes, João Carlos Lopesinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-10T01:18:52Zoai:repositorio.iscte-iul.pt:10071/29878Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:41:53.869433Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The asymmetric effects of real interest rates and US dollar on gold prices |
title |
The asymmetric effects of real interest rates and US dollar on gold prices |
spellingShingle |
The asymmetric effects of real interest rates and US dollar on gold prices Antunes, João Carlos Lopes 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 |
title_short |
The asymmetric effects of real interest rates and US dollar on gold prices |
title_full |
The asymmetric effects of real interest rates and US dollar on gold prices |
title_fullStr |
The asymmetric effects of real interest rates and US dollar on gold prices |
title_full_unstemmed |
The asymmetric effects of real interest rates and US dollar on gold prices |
title_sort |
The asymmetric effects of real interest rates and US dollar on gold prices |
author |
Antunes, João Carlos Lopes |
author_facet |
Antunes, João Carlos Lopes |
author_role |
author |
dc.contributor.author.fl_str_mv |
Antunes, João Carlos Lopes |
dc.subject.por.fl_str_mv |
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 |
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 |
description |
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. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-12-04T14:56:51Z 2023-11-10T00:00:00Z 2023-11-10 2023-09 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/29878 TID:203407865 |
url |
http://hdl.handle.net/10071/29878 |
identifier_str_mv |
TID:203407865 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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