RT Journal Article
SR Electronic
T1 Gold Price and GDP Analysis of the World’s Top Economies
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 83
OP 87
DO 10.3905/jii.2012.3.1.083
VO 3
IS 1
A1 Manu Sharma
A1 Rajnish Aggarwal
YR 2012
UL https://pm-research.com/content/3/1/83.abstract
AB The study examines the relationship between gold prices and real GDPs of the world’s largest gold-holding economies, which include the United States, the United Kingdom, France, Germany, Italy, Brazil, Japan, Europe, and Canada, for the 16-year period from December 1995 to June 2011. The authors calculate the multiple correlation coefficient and coefficient of determination to study this relationship. The multiple correlation coefficient measures the relationship between the gold price and GDP based on the regression equation, while the coefficient of determination indicates the percentage of the variation in gold prices that can be explained and accounted for by the GDPs of the world’s largest gold-holding economies in the regression equation. The authors perform multiple regression analyses to study the effect of nine GDPs on the movement of gold price. Results imply that the GDPs of seven out of nine economies when used together best predict the movements in the gold price. They also find that when individual GDPs are regressed with gold prices, the gold price is least correlated with Italy’s GDP but highly correlated with Brazil’s GDP. The gold price is only moderately correlated with the U.S. GDP even though the United States has the world’s highest gold holdings.TOPICS: Global, commodities, portfolio construction