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Title: The gold price in times of crisis
Authors: Białkowski, J.
Bohl, M. T.
Stephan, P. M.
Wisniewski, Tomasz P.
First Published: 2014
Publisher: Elsevier
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.
DOI Link: 10.1016/j.irfa.2014.07.001
ISSN: 1057-5219
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Checked with SHERPA/RoMEO and Elsevier website
Appears in Collections:Published Articles, School of Management

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