Pukthuanthong, Kuntara and Roll, Richard (2011) Gold and the Dollar (and the Euro, Pound, and Yen). Journal of Banking and Finance, 35 (8). pp. 2070-2083. ISSN 0378-4266. https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910554
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Abstract
Usually, gold and the Dollar are negatively related; when the Dollar price of gold increases, the Dollar depreciates against other currencies. This is intuitively puzzling because it seems to suggest that gold prices are associated with appreciation in other currencies. Why should the Dollar be different? We show here that there is actually no puzzle. The price of gold can be associated with currency depreciation in every country. The Dollar price of gold can be related to Dollar depreciation and the Euro (Pound, Yen) price of gold can be related to Euro (Pound, Yen) depreciation. Indeed, this is usually the case empirically.
| Item Type: | Article | ||||||
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| Additional Information: | © 2011 Elsevier. Received 26 June 2010, Accepted 14 January 2011, Available online 22 January 2011. | ||||||
| Subject Keywords: | Commodities; Exchange rate; Correlation; Autoregression; Granger causality; Dynamic conditional correlation | ||||||
| Issue or Number: | 8 | ||||||
| Classification Code: | JEL classification G10; G15; F31 | ||||||
| Record Number: | CaltechAUTHORS:20190426-145910554 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910554 | ||||||
| Official Citation: | Kuntara Pukthuanthong, Richard Roll, Gold and the Dollar (and the Euro, Pound, and Yen), Journal of Banking & Finance, Volume 35, Issue 8, 2011, Pages 2070-2083, ISSN 0378-4266, https://doi.org/10.1016/j.jbankfin.2011.01.014. (http://www.sciencedirect.com/science/article/pii/S0378426611000355) | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 95041 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | George Porter | ||||||
| Deposited On: | 29 Apr 2019 22:18 | ||||||
| Last Modified: | 03 Oct 2019 21:09 |
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