The price of gold and the exchange rate

被引：115

作者：

Sjaastad, LA ^{[1
]}

Scacciavillani, F ^{[1
]}

机构：

[1] INT MONETARY FUND, WASHINGTON, DC 20431 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1996年 / 15卷 / 06期

关键词：

D O I：

10.1016/S0261-5606(96)00045-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the theoretical relationship between the major exchange rates and the prices of internationally-traded commodities. In the empirical section, the case of gold is analyzed using forecast error data. Among other things, it is found that, since the dissolution of the Bretton Woods International monetary system, floating exchange rates among the major currencies have been a major source of price instability in the world gold market and, as the world gold market is dominated by the European currency bloc, appreciations or depreciations of European currencies have strong effects on the price of gold in other currencies. (JEL D40, F33). Copyright (C) 1996 Elsevier Science Ltd.

引用

页码：879 / 897

页数：19

共 18 条

[1]

Box GEP, 1976, Time series analysis: Forecasting and control

[2]

CLEMENTS K, 1984, PROTECTION TAXES EXP

[3] LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT [J].