Chirwa Themba G, Odhiambo Nicholas M
Department of Economics, University of South Africa, P.O Box 392, UNISA, 0003, Pretoria, South Africa.
Resour Policy. 2020 Dec;69:101818. doi: 10.1016/j.resourpol.2020.101818. Epub 2020 Aug 14.
This study investigates the short- and long-run determinants of gold price movements in financial markets by taking into account multiple structural breakpoints using an ARDL-based error correction approach. The study used daily time series data from December 19, 2018 to May 15, 2020. The key variables used include international stocks and bond funds that are frequently traded on stock exchanges around the world. The results, based on the fourth breakpoint regime, reveal a significant positive relationship between gold price movements and LSE, Nikkei stocks, T.Rowe global multi-sector bond funds, and CBOE volatility index; and a significant negative association with Gmo emerging country debt and Pimco emerging markets local currency bond funds both in the short- and long-run. Other stocks, like NASDAQ, DJI, S&P500, only revealed negative short-run relationships; except for NYSE that was found to have a positive short-run association with gold price movements. Conversely, Goldman Sachs bonds revealed a significant positive long-run relationship with gold price movements. These results have significant policy implications for gold producers and investors, as both stocks and bonds are an important source of information in the determination of gold price movements both in the short- and long-run.
本研究采用基于自回归分布滞后（ARDL）的误差修正方法，考虑多个结构断点，调查金融市场黄金价格走势的短期和长期决定因素。该研究使用了2018年12月19日至2020年5月15日的日时间序列数据。所使用的关键变量包括在全球证券交易所频繁交易的国际股票和债券基金。基于第四个断点机制的结果显示，黄金价格走势与伦敦证券交易所（LSE）、日经股票、T. Rowe全球多部门债券基金以及芝加哥期权交易所波动率指数（CBOE）之间存在显著的正相关关系；在短期和长期内，与Gmo新兴国家债务和太平洋投资管理公司（Pimco）新兴市场本币债券基金均存在显著的负相关关系。其他股票，如纳斯达克（NASDAQ）、道琼斯工业平均指数（DJI）、标准普尔500指数（S&P500），仅显示出负的短期关系；除纽约证券交易所（NYSE）被发现与黄金价格走势存在正的短期关联。相反，高盛债券与黄金价格走势显示出显著的长期正相关关系。这些结果对黄金生产商和投资者具有重要的政策意义，因为股票和债券在短期和长期内都是决定黄金价格走势的重要信息来源。
