Deterministic Elements of 1990s Gold Prices
Yutaka Kurihara

Abstract
This study examines recent deterministic elements of gold prices. Financial, economic, and political conditions have changed the role of gold. Following recent major financial crises, the volume of transactions have increased. These phenomena, from 1990 to 2015, included a breaking point at 2008Q3 in gold prices for macroeconomic variables. In the first half of this period, exchange rates, inflation, and stock prices influenced gold prices; for the latter partof this period, exchange rates, interest rates, and inflation more greatly impacted gold prices. A large difference and change in deterministic elements of stock prices occurred around the time of the Lehman shock. Hedging the role of gold against inflation is a recent phenomenon; however, it played no significant role at the time of Lehman shock. Currency depreciation caused past demand for gold; however, appreciation of currency may have increased the recent demand for gold in some countries.

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