Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test

In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange. The gold and exchange rate nexus become prominent after events like sovereign debt crisis, subprime mortgage crisis, low-interest rate problem, and global financial...

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Autores principales:	Raza Syed Ali, Shah Nida, Ali Muhammad, Shahbaz Muhammad
Formato:	article
Lenguaje:	EN
Publicado:	Sciendo 2021
Materias:	gold prices exchange rates non-parametric causality approach g7 countries d49 g1 d53 f51 c58 Business HF5001-6182
Acceso en línea:	https://doaj.org/article/ae3dc809903c45af965059dd6b7082a3
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id	oai:doaj.org-article:ae3dc809903c45af965059dd6b7082a3
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spelling	oai:doaj.org-article:ae3dc809903c45af965059dd6b7082a32021-12-05T14:11:11ZDo Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test1849-116210.2478/zireb-2021-0010https://doaj.org/article/ae3dc809903c45af965059dd6b7082a32021-11-01T00:00:00Zhttps://doi.org/10.2478/zireb-2021-0010https://doaj.org/toc/1849-1162In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange. The gold and exchange rate nexus become prominent after events like sovereign debt crisis, subprime mortgage crisis, low-interest rate problem, and global financial market solvency. These events attract the attention of researchers and academician for investigating the dynamics of the relationship between gold and exchange rates, and the majority of the studies discusses the linear dynamics, but the non-linear dynamics are ignored. Therefore, the current research investigates the non-linear dynamics of gold price and exchange rate relationship in G7 countries using the new technique named the nonparametric causality approach. This study uses monthly data from the years 1995(January)-2017 (March). The empirical results show that exchange rate return causes gold prices in four out of G7, especially at the low tails. This study also gives valuable insights for monetary policymakers, gold exporter’s international portfolio managers, and hedge fund managers.Raza Syed AliShah NidaAli MuhammadShahbaz MuhammadSciendoarticlegold pricesexchange ratesnon-parametric causality approachg7 countriesd49g1d53f51c58f51BusinessHF5001-6182ENZagreb International Review of Economics and Business, Vol 24, Iss 2, Pp 37-57 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	gold prices exchange rates non-parametric causality approach g7 countries d49 g1 d53 f51 c58 f51 Business HF5001-6182
spellingShingle	gold prices exchange rates non-parametric causality approach g7 countries d49 g1 d53 f51 c58 f51 Business HF5001-6182 Raza Syed Ali Shah Nida Ali Muhammad Shahbaz Muhammad Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test
description	In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange. The gold and exchange rate nexus become prominent after events like sovereign debt crisis, subprime mortgage crisis, low-interest rate problem, and global financial market solvency. These events attract the attention of researchers and academician for investigating the dynamics of the relationship between gold and exchange rates, and the majority of the studies discusses the linear dynamics, but the non-linear dynamics are ignored. Therefore, the current research investigates the non-linear dynamics of gold price and exchange rate relationship in G7 countries using the new technique named the nonparametric causality approach. This study uses monthly data from the years 1995(January)-2017 (March). The empirical results show that exchange rate return causes gold prices in four out of G7, especially at the low tails. This study also gives valuable insights for monetary policymakers, gold exporter’s international portfolio managers, and hedge fund managers.
format	article
author	Raza Syed Ali Shah Nida Ali Muhammad Shahbaz Muhammad
author_facet	Raza Syed Ali Shah Nida Ali Muhammad Shahbaz Muhammad
author_sort	Raza Syed Ali
title	Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test
title_short	Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test
title_full	Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test
title_fullStr	Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test
title_full_unstemmed	Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test
title_sort	do exchange rates fluctuations influence gold price in g7 countries? new insights from a nonparametric causality-in-quantiles test
publisher	Sciendo
publishDate	2021
url	https://doaj.org/article/ae3dc809903c45af965059dd6b7082a3
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Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test

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