On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test

Abstract

The links between exchange-rate movements and gold-price fluctuations have been extensively studied in earlier research using various econometric techniques. Our contribution to this research is that we apply a novel nonparametric causality-in-quantiles test to study the causal links between exchange-rate movements and gold-price fluctuations. We use daily data for the sample period 1994-2015 for major gold-producing countries to illustrate the novel test. We find that, for the majority of countries, gold-price fluctuations help to predict in sample the returns and the volatility of exchange rates. While exchange-rate movements predict in sample gold volatility, they do not predict gold returns.

Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis

“…Traders of foreign-currency options look to make profits by buying (selling) options if they expect volatility to rise above (fall below) of what is implied in option premiums. In addition, a large body of research has linked exchange-rate volatility to trade and welfare (Clark et al, 2004;Rapach and Strauss, 2008), and other commodity markets (Balcilar et al, 2016d). Policymakers are concerned with exchange-rate pass-through -a major mechanism by which exchange-rate movements affect domestic economic aggregates.…”

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

“…Next, we briefly present the methodology for the detection of nonlinear causality via a hybrid approach developed by Balcilar et al (2016a), which in turn is based on the frameworks of Nishiyama et al (2011) and Jeong et al (2012). Our description of the technical details of the test is relatively compact and heavily draws on Balcilar et al (2016b, d;2017b, 2017c, who have introduced this test into the empirical finance literature. We start by denoting excess returns by yt and the predictor variable (in our case, cay, cay MS , or cay TVP ) as xt.…”

Testing the Effects of Real Exchange Rate Pass-Through to Unemployment in Brazil

“…Economies 2018, 6, x FOR PEER REVIEW 3 of 13 this study can be viewed in two ways: (1) Even though empirical literature on the real ERPT has gained currency over the years, a great deal of it seeks to examine the extent of the ERPT on imports and domestic prices (Usman and Musa 2018) and others on gold price fluctuations (Balcilar et al 2017). The few empirical studies on the effects of RERT on unemployment extensively applied linear models, mostly based on Johansen cointegration and error correction models (VECM).…”