Modelling the glitter in gold

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of the gold price.
Original languageEnglish
Pages (from-to)225-239
Number of pages15
JournalAdvances and applications in statistics
Volume13
Issue number2
Publication statusPublished - 2009

Fingerprint

Modeling
Gold price
Interest rates
Consumer sentiment
Factors
Predictors
Market price
Oil prices
Stock market

Cite this

@article{7f93b38a543f4985b30d180c63022a5f,
title = "Modelling the glitter in gold",
abstract = "Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of the gold price.",
author = "Kuldeep Kumar and Gulasekaran Rajaguru and Samir Shrivastava",
year = "2009",
language = "English",
volume = "13",
pages = "225--239",
journal = "Advances and applications in statistics",
issn = "0972-3617",
number = "2",

}

Modelling the glitter in gold. / Kumar, Kuldeep; Rajaguru, Gulasekaran; Shrivastava, Samir.

In: Advances and applications in statistics, Vol. 13, No. 2, 2009, p. 225-239.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - Modelling the glitter in gold

AU - Kumar, Kuldeep

AU - Rajaguru, Gulasekaran

AU - Shrivastava, Samir

PY - 2009

Y1 - 2009

N2 - Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of the gold price.

AB - Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of the gold price.

M3 - Article

VL - 13

SP - 225

EP - 239

JO - Advances and applications in statistics

JF - Advances and applications in statistics

SN - 0972-3617

IS - 2

ER -