Title

Estimating long-run cointegration between gold prices and its determinants

Presenter(s)/Author(s)

Umema SiddiqiFollow

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.

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

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Jun 23rd, 4:50 PM Jun 23rd, 5:10 PM

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.