International Economics and Economic Policy

, Volume 14, Issue 4, pp 691–700 | Cite as

On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test

  • Mehmet Balcilar
  • Rangan Gupta
  • Christian Pierdzioch
Original Paper
First Online:

Abstract

The links between exchange-rate movements and gold-price fluctuations have been extensively studied in earlier research using various econometric techniques. Our contribution to this research is that we apply a novel nonparametric causality-in-quantiles test to study the causal links between exchange-rate movements and gold-price fluctuations. We use daily data for the sample period 1994–2015 for major gold-producing countries to illustrate the novel test. We find that, for the majority of countries, gold-price fluctuations help to predict in sample the returns and the volatility of exchange rates. While exchange-rate movements predict in sample gold volatility, they do not predict gold returns.

Keywords

Gold price Exchange rates Causality test Gold-producing countries 

JEL classification

C32 C53 F31 Q02 
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Notes

Acknowledgments

We would like to thank two anonymous referees for many helpful comments. Any remaining errors are solely ours.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  • Mehmet Balcilar
    • 1
    • 2
    • 3
  • Rangan Gupta
    • 2
  • Christian Pierdzioch
    • 4
  1. 1.Department of EconomicsEastern Mediterranean UniversityFamagustaTurkey
  2. 2.Department of EconomicsUniversity of PretoriaPretoriaSouth Africa
  3. 3.IPAG Business SchoolsParisFrance
  4. 4.Department of EconomicsHelmut Schmidt UniversityHamburgGermany

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