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dc.contributor.authorApergis, Nicholas
dc.date.accessioned2017-01-30T10:42:07Z
dc.date.available2017-01-30T10:42:07Z
dc.date.created2014-03-27T20:00:58Z
dc.date.issued2014
dc.identifier.citationApergis, Nicholas. 2014. Can gold prices forecast the Australian dollar movements? International Review of Economics and Finance. 29: pp. 75-82.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/4847
dc.identifier.doi10.1016/j.iref.2013.04.004
dc.description.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.

dc.publisherElsever
dc.subjectError Correction Model
dc.subjectAustralian dollar/US dollar exchange rate
dc.subjectPredictive ability
dc.subjectGold prices
dc.titleCan gold prices forecast the Australian dollar movements?
dc.typeJournal Article
dcterms.source.volume29
dcterms.source.startPage75
dcterms.source.endPage82
dcterms.source.issn1059-0560
dcterms.source.titleInternational Review of Economics and Finance
curtin.note

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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curtin.accessStatusOpen access


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