The Gold Price in Times of Crisis (2014)
AuthorsBialkowski, J., Bohl, M.T., Stephan, P.M., Wisniewski, T.show all
Motivated by the recent gold price boom, this paper examines whether an asset bubble exists in the gold market. We approximate gold's fundamental value using several econometric models and apply a Markov regime-switching Augmented Dickey-Fuller (ADF) test which has substantial power for detecting explosive behavior. Although our results are sensitive to the speci cation of the fundamental value, we show that a model accounting for the current European sovereign debt crisis accurately tracks the gold price observed in the market. We also note that in ation in a general commodity price index and gold ETF demand have a potential to explain the price trajectory.
CitationBialkowski, J., Bohl, M.T., Stephan, P.M., Wisniewski, T. (2014) The Gold Price in Times of Crisis. International Review of Financial Analysis, (early access online).
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