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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal: Business and Economics Research Journal
Title of Article: Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model
Author(s): Cengiz Toraman, Cagatay Basarir, Mehmet Fatih Bayramoglu
Volume: 2
Number: 4
Year: 2011
Page: 37-50
ISSN: 1309-2448
Abstract

Recently, increase of the gold prices attracts interest again together with the affects of the latest financial crisis. Main objective of this study is to determine factors affecting the gold prices. The study includes montly data between June, 1992 and March, 2010. Oil prices, USA exchange rate, USA inflation rate, USA real interest rate data are included in the model as variables. According to emprical findings, highest correlation is found between gold prices and USA exchange rate negatively. Secondly, a positive correlation is found between gold prices and oil prices.

Keywords: Gold Prices, Dow Jones Index, Oil Prices, MGARCH Model, CCC Model

JEL Classification: G12, C22, E31

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