Estimating long-run cointegration between gold prices and its determinants
Abstract/Description
The objective of this paper is to analyze the determinants of gold prices in Pakistan and to deduce long run co-integration between them, if any. The impact of global gold prices, interest rates, foreign exchange rates, silver prices and stock market performance have been measured on the gold prices in Pakistan. The study utilizes annual time series data of the said variables from 1973 to 2015. To test the long-run relationship among variables, econometric techniques such as the Unit Root Test using Augmented Dickey-Fuller (ADF) test, Johansen Cointegration, Vector Error Correction Model (VECM), and Granger causality were performed. The empirical results reveal that global gold prices, foreign exchange rates, and silver prices significantly affect gold prices in local market. The results also indicate the presence of a long-run cointegration among the variables under analysis.
Keywords
Gold prices, Interest rate, Foreign exchange rates, Cointegration, Vecm
Track
Accounting, Law, and Finance
Session Number/Theme
Session 2A
Session Chair
Dr. Hilal Anwar Butt, Institute of Business Administration, Karachi
Session Discussant
Tahira Mariam Jaffery; Zaira Anees; Dr. Sharjeel Ahmed Hasnie; Dr. Falik Shear
Start Date/Time
23-6-2022 4:50 PM
End Date/Time
23-6-2022 5:10 PM
Location
Training Room 3, Marriott Hotel, Karachi
Recommended Citation
Siddiqi, U. (2022). Estimating long-run cointegration between gold prices and its determinants. 3rd IBA SBS International Conference 2024. Retrieved from https://ir.iba.edu.pk/sbsic/2022/program/24
COinS
Estimating long-run cointegration between gold prices and its determinants
Training Room 3, Marriott Hotel, Karachi
The objective of this paper is to analyze the determinants of gold prices in Pakistan and to deduce long run co-integration between them, if any. The impact of global gold prices, interest rates, foreign exchange rates, silver prices and stock market performance have been measured on the gold prices in Pakistan. The study utilizes annual time series data of the said variables from 1973 to 2015. To test the long-run relationship among variables, econometric techniques such as the Unit Root Test using Augmented Dickey-Fuller (ADF) test, Johansen Cointegration, Vector Error Correction Model (VECM), and Granger causality were performed. The empirical results reveal that global gold prices, foreign exchange rates, and silver prices significantly affect gold prices in local market. The results also indicate the presence of a long-run cointegration among the variables under analysis.
