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Can gold prices forecast the Australian dollar movements?

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2014
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Journal Article

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Apergis, Nicholas. 2014. Can gold prices forecast the Australian dollar movements? International Review of Economics and Finance. 29: pp. 75-82.
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International Review of Economics and Finance
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NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Economics and Finance, Vol. 29 (2014). DOI: 10.1016/j.iref.2013.04.004

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Abstract

This paper explores whether gold prices have a reliable out-of-sample relationship with the Australian dollar/US dollar nominal and real exchange rates using daily and quarterly data, respectively, spanning the period 2000–2012. Through an Error Correction Model (ECM), the empirical findings suggest that the out-of-sample predictive ability is strong and robust across short- and long-run horizons. The results could offer informational availability for monetary policymakers, hedge fund managers and international portfolio managers. They also provide additional support to the hypothesis that both markets are driven by the same information sets.