RT Journal Article
SR Electronic
T1 Static and Dynamic Approaches to Studying Factors Affecting the Price of Gold
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 69
OP 73
DO 10.3905/jwm.2015.18.1.069
VO 18
IS 1
A1 Manu Sharma
A1 Esha Prashar
A1 Gunwant Singh Saini
YR 2015
UL https://pm-research.com/content/18/1/69.abstract
AB The study examines the relationship of the price of gold to five factors: the U.S. GDP, Consumer Price Index, U.S. dollar index, S&P 500, and LIBOR, for a period of 10 years, from December 2001 to December 2011. When the values of each precedent were perturbed from the base value, it was found that U.S. GDP has the highest impact on the price of gold. It was also found that the price of gold has a positive relationship with U.S. GDP, CPI, U.S. dollar index and the S&P 500 and a negative relationship with LIBOR. The U.S. GDP shows the highest nonlinear rank correlation, whereas the LIBOR shows the lowest nonlinear rank correlation. It is also proven that it is important to perform sensitivity analysis after a simulation to ascertain if any interactions exist in the model and whether the effects of certain variables still hold in the presence of such interactions.TOPICS: Commodities, simulations, performance measurement