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|Title:||The gold price in times of crisis|
Bohl, M. T.
Stephan, P. M.
Wisniewski, Tomasz P.
|Citation:||International Review of Financial Analysis, 2014|
|Abstract:||Motivated by the recent gold price boom, this paper examines whether an asset bubble exists in the gold market. We approximate gold's fundamental value using several econometric models and apply a Markov regime-switching Augmented Dickey-Fuller (ADF) test which has substantial power for detecting explosive behavior. Although our results are sensitive to the specification of the fundamental value, we show that a model accounting for the current European sovereign debt crisis accurately tracks the gold price observed in the market. We also note that inflation in a general commodity price index and gold ETF demand have a potential to explain the price trajectory.|
|Embargo on file until:||21-Nov-2017|
|Rights:||Checked with SHERPA/RoMEO and Elsevier website|
|Appears in Collections:||Published Articles, School of Management|
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|Gold-Bubbles.pdf||Post-review (final submitted)||873.82 kB||Adobe PDF||View/Open|
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