Factors affecting the world’s gold price: an ARDL approach

Abstract

The paper focuses on investigating factors affecting global gold prices in the short-run and long-run with daily data from January 2007 to December 2012. By applying autoregressive distributed lag (ARDL) bound test, the empirical results show that there is no evidence of long-run relationship among London gold price, West Texas Intermediate (WTI) crude oil sport price, US dollar index and S&P 500. However, when financial crisis is taken into the research as a dummy variable, the results reveal that financial crisis affects the relationship of gold price with oil price, US dollar index and S&P 500 and cannot conclude that long-run relationship among them existed. Therefore, the State Bank of Viet Nam cannot base on the movement of those variables to forecast the movement of world gold price for making their decision in selling or buying gold.