Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period

We apply the nonlinear autoregressive distributed lag method to examine the relationships between seven leading currency exchange rates and gold prices using daily data from January 2017 to April 2021. The results reveal that in the short term, while negative United States dollar (USD) to United Kin...

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Detalles Bibliográficos
Autores principales: Tanin, Tauhidul Islam, Sarker, Ashutosh, Brooks, Robert
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759833/
https://www.ncbi.nlm.nih.gov/pubmed/36570867
http://dx.doi.org/10.1016/j.irfa.2021.101868
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author Tanin, Tauhidul Islam
Sarker, Ashutosh
Brooks, Robert
author_facet Tanin, Tauhidul Islam
Sarker, Ashutosh
Brooks, Robert
author_sort Tanin, Tauhidul Islam
collection PubMed
description We apply the nonlinear autoregressive distributed lag method to examine the relationships between seven leading currency exchange rates and gold prices using daily data from January 2017 to April 2021. The results reveal that in the short term, while negative United States dollar (USD) to United Kingdom pound, negative USD to Canadian dollar, negative USD to Japanese yen, negative USD to Danish krone, and positive USD to euro exchange rates increase gold prices, a lagged positive USD to euro and lagged positive USD to Danish krone exchange rates decrease gold prices. A test of the pre-pandemic normal period reveals that the uneven and unpredictable impacts of six exchange rates on gold prices are particularly due to COVID-19. We find efficiency in the gold market, in line with the market efficiency hypothesis and random walk theory. Our findings indicate that gold acts as a safe-haven asset for investors during COVID-19.
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spelling pubmed-97598332022-12-19 Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period Tanin, Tauhidul Islam Sarker, Ashutosh Brooks, Robert Int Rev Financ Anal Article We apply the nonlinear autoregressive distributed lag method to examine the relationships between seven leading currency exchange rates and gold prices using daily data from January 2017 to April 2021. The results reveal that in the short term, while negative United States dollar (USD) to United Kingdom pound, negative USD to Canadian dollar, negative USD to Japanese yen, negative USD to Danish krone, and positive USD to euro exchange rates increase gold prices, a lagged positive USD to euro and lagged positive USD to Danish krone exchange rates decrease gold prices. A test of the pre-pandemic normal period reveals that the uneven and unpredictable impacts of six exchange rates on gold prices are particularly due to COVID-19. We find efficiency in the gold market, in line with the market efficiency hypothesis and random walk theory. Our findings indicate that gold acts as a safe-haven asset for investors during COVID-19. Elsevier Inc. 2021-10 2021-08-09 /pmc/articles/PMC9759833/ /pubmed/36570867 http://dx.doi.org/10.1016/j.irfa.2021.101868 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Tanin, Tauhidul Islam
Sarker, Ashutosh
Brooks, Robert
Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
title Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
title_full Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
title_fullStr Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
title_full_unstemmed Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
title_short Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
title_sort do currency exchange rates impact gold prices? new evidence from the ongoing covid-19 period
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759833/
https://www.ncbi.nlm.nih.gov/pubmed/36570867
http://dx.doi.org/10.1016/j.irfa.2021.101868
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