Global Determinants of the Gold Price: A Multivariate Cointegration Analysis

被引：2

作者：

Murach, Michael ^{[1
]}

机构：

[1] Fernuniv, Dept Econ, Hagen, Germany

来源：

SCOTTISH JOURNAL OF POLITICAL ECONOMY | 2019年 / 66卷 / 01期

关键词：

INFLATION; EFFICIENCY; COMMODITY; HEDGE;

D O I：

10.1111/sjpe.12190

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The present paper follows publications which have investigated the influence of global liquidity developments on commodity prices and asset price indices. It contributes to the literature by analyzing how global developments in money, output, and inflation can be related to developments in gold prices in a long-run perspective. Applying a multivariate cointegration (CVAR) analysis, this study investigates long-run relationships between these variables. The results suggest a significant influence of excess global liquidity on real gold prices and a co-movement of real gold prices and global inflation.

引用

页码：198 / 214

页数：17

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