International Gold Price Research Articles

International Gold Price Forecast Based on CEEMDAN and Support Vector Regression with Grey Wolf Algorithm

Considering the complexity pattern of the gold price, this paper adopts the decomposition‐reconstruction‐forecast‐mergence scheme to perform the international gold price forecast. The original gold price data are decomposed into 12 intrinsic mode functions and a residual by the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) method, and then the 13 sequences are reconstructed into a high‐frequency subsequence (IMFH), a low‐frequency subsequence (IMFL), and the residual (Res). According to the different characteristics of the subsequences, the IMFL and Res are forecasted by the support vector regression (SVR) model. Besides, in order to further improve the prediction accuracy of IMFH, we have developed a novel hybrid method based on the support vector regression (SVR) model and the grey wolf optimizer (GWO) algorithm with SVR for predicting the IMFH of gold prices, i.e., the CEEMDAN‐GWO‐SVR model. This hybrid model combines the methodology of complex systems with machine learning techniques, making it more appropriate for analyzing relationships such as high‐frequency dependences and solving complex nonlinear problems. Finally, the final result is obtained by combining the forecasting results of the three subsequences. The empirical results show that the proposed model demonstrates the highest prediction ability among all of the investigated models in a comparison of prediction errors with other individual models.

Local Stock Market Integration with International Gold and Oil Price

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

The association between gold mining and malaria in Guyana: a statistical inference and time-series analysis

SummaryBackgroundGuyana reported a significant rise in malaria between 2008 and 2014. As there was no evidence of impairment of national malaria control strategies, public health authorities attributed the surge to a temporal increase in gold mining activity in forested regions. However, systematic analysis of this association is lacking because of the difficulties associated with collecting reliable data for both malaria and mining. We aimed to investigate the association between the international gold price and Plasmodium falciparum malaria transmission in Guyana between 2007 and 2019. We also aimed to evaluate the association between P falciparum cases and the El Niño-Southern Oscillation pattern, which has previously been suggested as a major driver of malaria.MethodsWe used national malaria surveillance data from Guyana to estimate the correlation over time between the international gold price and reported P falciparum infections in individuals who were likely to be involved in mining activities (ie, men and boys aged between 15 and 50 years who were living in mining regions) for each month between 2007 and 2019. We compared the estimates with those obtained from individuals who were unlikely to be directly involved in mining activities (ie, women, children aged 12 years and younger, and adults aged over 70 years) and estimates obtained from individuals living in non-mining regions. We also evaluated the correlation between P falciparum infections and the El Niño-Southern Oscillation pattern in the same subpopulations and time period. Lastly, we evaluated the performance of a statistical model formulated to estimate P falciparum infections in real time using the international gold price as the predictor variable.FindingsThe proportion of P falciparum malaria cases in temporary residents, which was used as a proxy for circulating individuals involved in gold mining, was highest during the years of peak gold price (ie, between 2008 and 2014). Cases of malaria in all demographic groups showed a strong positive correlation with the gold price, but only in regions with mining camps (0·88 [95% CI 0·84–0·89] for boys and men aged between 15 and 50 years and 0·80 [0·73–0·85] for the aggregated population of women, children aged 12 years and younger, and adults older than 70 years). The highest correlation occurred earlier in men and boys aged between 15 and 50 years, the demographic most likely to be miners, suggesting that transmission in mining camps is followed by infections in the community. On the basis of these findings, we were able to reliably forecast P falciparum malaria trends using only the gold price as the predictor variable. A 1% increase in gold price was associated with a 2·13% increase in P falciparum infections after 1 month in the mining populations, and with a 1·63% increase after 2 months in the non-mining populations. Lastly, La Niña climatic events showed an additional, smaller positive correlation with malaria transmission.InterpretationOur analysis provides evidence that the P falciparum malaria surge observed in Guyana between 2008 and 2014 was likely to have been driven mainly by an increase in gold mining, while climate factors might have contributed synergistically. We propose that the international gold price over time is a useful indicator of malaria trends. We conclude that the feasibility of malaria elimination in Guyana, and in other areas in the Amazon where malaria and gold mining overlap, should be evaluated against the challenges posed by rapidly rising gold prices.FundingRamón Areces Foundation, National Institutes of Health, and National Institute of General Medical Sciences.

The Comparison between ARIMA and ARFIMA Model to Forecast Kijang Emas (Gold) Prices in Malaysia using MAE, RMSE and MAPE

Gold is known as the most valuable commodity in the world because it is a universal currency recognized by every single bank across the globe. Thus, many people were interested in investing gold since gold market was always steadier compared to other investment (Khamis and Awang, 2020). However, the credibility of gold was questionable due to the changes in gold prices caused by a variety of circumstances (Henriksen, 2018). Hence, information on the inflation of gold prices were needed to understand the trend in order to plan for the future in accordance with international gold price standards. The aim of this study was to identify the trend of Kijang Emas monthly average prices in Malaysia from the year 2010 to 2021, to determine the best fit time series model for Kijang Emas prices in Malaysia and using univariate time series models to forecast Kijang Emas prices in Malaysia. The ARIMA and ARFIMA models were used in this study to model and forecast the prices of gold (Kijang Emas) in Malaysia. Each of the actual monthly Kijang Emas prices for 2021 were found to be within the 95% predicted intervals for both the ARIMA and ARFIMA models. The performances for each model were checked by considering the values of MAE, RMSE and MAPE. From the findings, all the MAE, RMSE and MAPE values showed that the ARFIMA model emerged as the better model in forecasting the Kijang Emas prices in Malaysia compared to the ARIMA model.

Factors affecting gold production in Zimbabwe (1980–2018)

The debate on the ‘resource curse’ or ‘the paradox of plenty’ has been raging for decades, albeit with no consensus. This is due to the diversity of findings from empirical literature supporting either side of the debate. The resource curse itself has been compartmentalised into several variants of the model, depending on the perceived causes and channels through which its effects are transmitted into the economy. Zimbabwe has been classified as a natural resource-abundant country by the World Bank. This paper broadly aims to evaluate the determinants of gold production in Zimbabwe during the period 1980 to 2018. Zimbabwe has an estimated 13 million tons of gold in situ. However, the country has not been able to fully exploit this resource – production has been intermittent and cyclical. Econometric modelling of the determinants of gold production shows that international gold price appears to be negatively related to gold production in Zimbabwe. This counter-intuitive result is explained by the greater impact of domestic economic conditions. Foreign currency retention, political stability, and gross capital formation are all positively related to gold production. It is recommended that Zimbabwe considers liberalizing the gold trading regime and institutes greater political stability and strengthen its institutions to stimulate gold production.

Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand

This study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.

Rising Gold Prices Threaten the Feasibility of Malaria Elimination in Guyana

Guyana reported a significant rise in malaria nationwide between 2008-2014. The surge was attributed by public health authorities to a temporal increase in gold mining activity in forested regions, without evidence of impairment of national control strategies. However, systematic analysis of the association remains lacking due to the remoteness of both malaria and mining, and collection of reliable data becomes exceptionally difficult. To overcome this challenge, we investigated the relation between international gold price and falciparum malaria transmission in Guyana between 2007-2019, using statistical inference and time series analysis. We also evaluated the association between falciparum cases and the El Nino-Southern Oscillation pattern, previously suggested as a major malaria driver. The proportion of falciparum malaria cases among temporary residents was highest during the years of peak gold price, consistent with circulation of individuals related to mining activity. Further, cases among all demographics showed a strong positive correlation with gold price but only in regions with mining camps. The highest cross-correlation occurred earlier among individuals representative of mining laborers, suggesting that transmission in mining camps is followed by infections in the community. Upon these findings, we were able to reliably forecast falciparum malaria trends using only gold price as the predictor variable. Last, the La Nina climatic events showed an additional, smaller positive correlation with malaria transmission. Our analyses evidence that the 2008-2014 falciparum malaria surge observed in Guyana was mainly driven by an increase in gold mining, while climate factors might have contributed synergistically. We propose that international gold price is a useful indicator of future cases of malaria. We conclude that the feasibility of malaria elimination in Guyana and in other areas in the Amazonian where malaria and gold mining overlap should be evaluated against the challenges posed by rapidly rising gold prices. Funding: PMD was supported by the Ramon Areces Foundation fellowship. PMD and COB were supported by NIH/NIGMS, grant number 5R35GM124715-02. Declaration of Interest: None to declare. Ethical Approval: Ministry of Public Health, Guyana granted access to non-identifiable surveillance data obtained from the Malaria Program /Vector Control Services under Institutional Review Board exemption. Further, Institutional Review Board exemption was obtained from Harvard School of Public Health (Boston, US), Human Research Protection Program, Protocol number IRB18-1638.

DO INTERNATIONAL GOLD PRICES AND NSE NIFTY 50 MOVE TOGETHER?

With gold’s persistence performance over erratic periods since the catastrophic event of global financial crisis in 2008, attention is focussed on gold to substitute stock market investments in the times of crisis. Exploring such causal nexus between NSE NIFTY 50 index and Gold prices in Indiapost 2008 crisis is the main focus of the present research. The daily data of International Bloom berg Gold prices and NSE NIFTY 50 Index series has been used over the time period of November 13, 2008 to January 24, 2020. By applying unit root and Toda-Yamamoto granger causality test, study primarily shows stationarity of the variables at different order. The study evidenced the significant bidirectional short-run causal relationship in between NSE NIFTY 50 prices and International Gold prices. Hence, International Gold prices hold significant information which can be used to predict NSE NIFTY 50 returns and vice-versa. The results of present study can be used by Indian stock market policymakers to implement new structural restructuring to augment efficiency of Indian equity sector. Present study is limited in scope to account for gold’s nexus with only stock market index which in future can be furthered by establishing association with other commodity markets, mutual funds, exchange rate, derivative, etc.

Analysis of Macroeconomic Determinants of Peruvian Gold Export Value in the Period 2003-2019

The current research examined the macroeconomic determinants of Peruvian gold exports in the period 2003-2019 as well as their relative importance. Regressors employed were inflation, exchange rate, international rate, interest rate and Swiss gross domestic product. Ordinary Least Square along with decomposition and standardized coefficients were employed. The research found positive effects of inflation and international gold price on the dependent variable; while, Swiss gross domestic product was found to have a negative effect to Peruvian gold export. By the usage of decomposition and standardized coefficients it was found that international gold price is the most relevant regressor when explaining Peruvian gold export values.

On the co-movement of crude, gold prices and stock index in the Indian market

The nonlinear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based on that week’s closing exchange rate. Though a good correlation was obtained during some period, but as a whole no such cointegration relation can be found out. Using the Discrete Wavelet Analysis, the data was decomposed and the presence of Granger Causal relations was tested. Unfortunately, no significant relationships are being found. We then studied the Wavelet Coherence of the two pairs, namely NSE-Nifty & Gold and NSE-Nifty & Crude. For different frequencies, the coherence between the pairs have been studied. At lower frequencies, some relatively good coherence have been found. In this paper, we report for the first time the co-movements between Crude Oil, Gold and Indian Stock Market Index using Wavelet Analysis (both Discrete and Continuous), a technique which is most sophisticated and recent in market analysis. Thus, for long-term traders they can include gold and/or crude in their portfolio along with NSE-Nifty index in order to decrease the risk (volatility) of the portfolio for the Indian Market. But for short-term traders, it will not be effective, not to include all the three in their portfolio.

Does Information Spillover and Leverage Effect Exist in World Gold Markets?

Financial markets are highly sensitive to the flow of information. The nature and arrival of information impact the price of gold. Gold, an international commodity, is traded across the world. Hence, the size and sign of information in any one country may be expected to affect the international gold price fixation. The objective of the study is to analyse the information spillover and the leverage effect transmitted from major gold consuming countries to the fixation of London Bullion Market Association (LBMA) AM fix and PM fix prices and how significantly the information of Indian market contributes to the price fixation. The multivariate exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model proposed by Koutmos and Booth ( 1995 , Journal of International Money and Finance, 14(6), 747–762) is used to analyse the daily spot gold price data of major gold consuming countries like India, the USA, Europe and Japan. The results concluded that price and volatility of major gold consuming countries spill over to the LBMA AM fix and PM fix prices. LBMA AM fix and PM fix prices are sensitive to the new information and their price movements are significantly influenced by the information from India and the USA. The leverage effect shows that positive information causes more volatility in the LBMA fix prices than negative information. The study suggests that the investors, bankers, wholesalers and retail customers who depend on LBMA fix prices as a benchmark price can predict them by utilizing the information received from the Indian and US markets. They can specifically look for positive news than the negative news, as they have more impact on the spillover effect.

Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach

Since 2013, China has become the world’s largest gold producer and consumer. To gain the corresponding global pricing power in gold, many actions have been taken by China in recent years, including the International Board at Shanghai Gold Exchange, Shanghai-Hong Kong Gold Connect and Shanghai Gold Fix. Our work studies the dependence structure between China’s and international gold price and examines whether these moves are changing the dependence structure. We use GARCH-copula models to detect the dynamic dependence and tail dependence. The research period is set to contain the Financial Crisis in 2008, the dramatical plunge of gold price in 2013 and a series of black swan events in 2016. The empirical study shows that some event driven dependence structure breaks are statistically insignificant. And the time-varying Symmetrized Joe-Clayton copula is the best copula to model the dependence structure based on AIC value. Finally, an example of applications of this dependence structure is given by estimating the VaR of an equally weighted portfolio with a simulation-based method.

Does the Gap between Domestic and International Gold Price Affect Money Demand?: Evidence from Vietnam

Does the Gap between Domestic and International Gold Price Affect Money Demand?: Evidence from Vietnam

Deviations between China’s and international gold price: role of fundamentals, contagion and financial shocks

ABSTRACTChina has been the world’s largest gold producer since 2007 and the world’s largest gold consumer since 2013. However, despite it being the second largest exchange-traded market in the world, gold price shows persistent volatility and deviations from the international gold price. This study explores the impact of fundamentals, global contagion and financial shocks on the gap between international and domestic gold price using an extended GARCH model. The empirical study shows that the exchange rate of renminbi plays an important role in moving the price gap. The global contagion factors associate more with the level of the price gap, not with the volatility; policy shocks do not present expected significant influence on the price gap. For black swan events, their impact on both level and volatility of the price gap is discernible.

Small man goes where the large fears to tread: Mining in Guyana: 1990-2018

Mining in Guyana has grown exponentially in the last 25 years, becoming the dominant export industry and engine for growth. Guyana's pathway to economic domination by mineral extraction has taken a distinctly different path from other mineral-intensive countries in that the majority of extraction has been from small and medium scale operators. A single Canadian-owned gold mine was the only representation of the large-scale sector for much of the time period. Guyana's unique mining industry has evolved as a result of the increasing international gold price, its political history and crucially government policy that legalised, regulated and encouraged small and medium scale activity much more prominently than large-scale activities. Chief to this policy position was the establishment of a legislative framework that creates a structure for Guyanese small and medium scale miners to obtain property rights and mine legally.This paper draws on interview evidence and secondary data to reflect upon the impact that this policy position has had upon the economic, social and environmental consequences of the growth of the mining industry in the country. Economically the policy helped to maintain value within Guyana, but may not have fully insulated the country from the resource curse. Although a large value was created for consumption by Guyanese miners and their families, little of this was captured by government for investment in long-term infrastructure. The industry also provided a valuable source of employment for low-skilled local labour, helping to absorb individuals from diminishing industries such as sugar. Socially the industry has created problems such as prostitution, human trafficking and crime, especially in remote areas. However, it may have proved as an important safety valve, providing income and activity for otherwise disaffected low-skilled individuals. Environmentally the industry has created problems due to mercury pollution and deforestation but there is space within the legislative structure for the industry to become an agent of change for restoration and land reclamation.

Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model

After the financial liberalization in the emerging economies, their stock markets have grown very rapidly in terms of value and volumes. However, a sharp increase in the prices of strategic commodities like oil and gold can have negative effects on the macroeconomics of the emerging economies and their stock markets. This study analyses the dynamic relationship between oil, gold and stock market returns in Turkey. It particularly investigates volatility spillover from oil and gold to the Borsa Istanbul Stock Exchange Index after the global financial crises. Movement of the BIST index with the international oil and gold prices are examined by using different versions of the SVAR-DCC-GARCH framework. The bootstrap causality test which accounts for the non-normal distribution of errors is utilized to specify the SVAR model. Our results support the presence of time-varying co-movement and volatility spillover from gold and oil to the Turkish stock market. Volatilities are high, and gold has stronger impact on the stock market than oil; therefore, gold cannot be used as a safe haven against volatility risk. The results imply that Turkey needs dynamic macroeconomic policies to manage the spillover effects of volatility after the global crisis.

Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico

This study investigates the dynamic relationship among international oil prices, international gold prices, exchange rate and stock market index in Mexico. Mexico is a major oil and gold exporting country and at the same time a major importer of petroleum products. ARDL Bound testing cointegration approach has been used on daily data ranging from January 2006 to April 2018. Findings of the study suggest that international gold prices positively affect the stock price of Mexico while oil price affects them negatively. Oil prices negatively influence exchange rate in the long and gold price do not have any significant impact on the exchange rate. The finding of this research have important implications and also provides some signals to monetary and fiscal policies, considering the pressure crude oil prices create on the stock markets and exchange rates.

Market openness and market quality in gold markets

AbstractThis paper studies the impact of market openness on market quality in gold markets, by investigating the openness event that occurred when the Shanghai Gold Exchange (SGE) launched an international board (SGEI) for foreign investors in China. Investors prefer to trade on the SGE than the SGEI, probably due to the SGE’s higher liquidity. In addition, using the New York Mercantile Exchange (COMEX) gold futures as the benchmark, we show the SGE experiences a significant increase in liquidity without a concomitant increase in volatility. Moreover, the SGE’s contribution to international gold price discovery increases after the openness event.

Blessing and curse. The gold boom and local development in Colombia

I provide a microeconomic channel for the resource curse using the boom in Colombian gold mining as a case study. Identification strategies exploit trend changes in international gold prices after 2002 and regional gold production capabilities as measured by water supply (the majority of gold mining in Colombia is placer mining and water is important for industrial gold production). I find that the gold boom decreases local unemployment in the short term by 3.5%. However, given the lack of capacity to effectively ban child labor, these economic opportunities are also available for children. My results indicate that, because of the gold boom, the probability that a child works increases by 9.3% and school attendance decreases by 23.9%. Capital accumulation seems to be permanently hurt since the probability that a child is lagging three or more grades behind increases by 9%. These effects are only discernible after 2002. The human capital results can be retrieved from different databases. Furthermore, results are robust to a series of robustness checks (restricting the sample to gold producers and their neighbors, using alternative sets of controls and restricting the sample to non-migrants). Resources are a blessing in the short term but a curse for long term economic growth if human capital is productive.

Estimation of causal relationship between world gold prices and KSE 100 index: Evidence from Johansen cointegration technique

The aspiration of this research paper is to investigate the impact of international gold prices on the equity returns of Karachi Stock Index (KSE100 index) of Pakistan Stock Exchange. The daily observations from January 1, 2000 – June 30, 2016 have been divided into three sub-periods along with the full sample period on the basis of structural breaks. Descriptive analysis used to calculate the average returns, which showed significant returns of KSE100 for the full sample, the first and the third sample periods as compared to gold returns. Standard deviation depicted the higher volatility in all the sample periods. Correlation analysis has shown an inverse relationship amid equity returns and gold returns, whereas, Philips-Perron and Augmented Dickey-Fuller tests have been employed, and time series data became stationary after taking the first difference. Johansen cointegration results have shown that the series are cointegrated in the full-sample and the first sample periods. Thus, this has demonstrated the long run association amid equity returns and gold returns in the first sub-sample and the full-sample periods. However, the second and the third sub-sample periods do not exhibit long-term association amid equity returns of KSE100 and gold returns. The outcomes of Granger causality approach identified bidirectional causation amid equity returns and gold returns in the full sample period in lag 2, and unidirectional causality has been observed from gold prices to stock prices in the full sample and the first sub-sample periods in lag 1 and lag 2 respectively.