Meta-Analysis of Gold Price and Major ASEAN Currency (Malaysian Ringgit, Singapore Dollar, Thai Baht) Against US Dollar

Abstract

With the exit of Bretton Woods System and Gold Standard, the floating rate was adopted by most countries among ASEAN region. Floating exchange rate has been a major debacle issue for the volatility of world gold price in relation to national currency value including that of the ASEAN region. The motivation behind this empirical study is to examine the relationship between gold price and exchange rate of ASEAN major currencies such as Malaysian Ringgit (MYR/USD), Singapore Dollar (SGD/USD), and Thai Bath (THB/USB) against the US dollar. Gold price is primarily dominated in US dollar, and any variation in US dollar may influence the value of other currencies. The monthly meta-analysis involves the study of a span of 30-year data, effective from 1981 to 2010. While the findings report no short term relationship, a Johansen Co-integration test finds evidence of a long term relationship between gold price vis-a-vis the exchange rate of major ASEAN currencies, such as MYR/USD, SGD/USD and THB/USD. Further evidence from OLS shows that gold price has a positive relationship with MYR/USD but reports perverse relationship against SGD/USD and THB/USD.