Abstract
Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that may be related to gold prices. These variables were divided into two groups: precious metals and energy. According to the results of unit root (or stationary) tests and cointegration tests, a vector autoregression model (VAR) was constructed to reveal the short-term interaction between gold prices and precious metals, and a vector error correction model (VECM) was employed to reveal relationship between gold prices and energy prices. The results of the VAR analysis indicated that gold prices have a short-term correlation with silver prices; platinum prices have a short-term correlation with gold and silver prices; and there is a short-term correlation between silver prices and palladium prices. According to the results of the VECM analysis, gasoline and crude oil prices have no long-term correlations with gold prices, but gold and crude oil prices have a long-term correlation with gasoline prices.
Highlights
National and international financial markets have become severely complex as a result of the introduction of new financial market instruments
The results of the vector autoregression model (VAR) analysis indicated that gold prices have a short-term correlation with silver prices; platinum prices have a short-term correlation with gold and silver prices; and there is a short-term correlation between silver prices and palladium prices
The purpose of this study is to examine the relationship between gold prices, energy prices and some commodity prices
Summary
National and international financial markets have become severely complex as a result of the introduction of new financial market instruments. This complexity raises questions in the minds of investors. The main motives underlying the demand for gold can be divided into three groups: jewellery, industrial dentistry and investment (Baur & McDermott, 2010). Jewellery and industrial dentistry motives depend on the purchasing power of consumers. The gold market, which has provided important gains recently, basically depends on two motives: gold demand for aesthetic purposes and gold demand for precautionary purposes (Ziaei, 2012). One of the most important characteristics of gold is that it is an instrument of investment in every period
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