How did the economic growths of China and India influence the price How did the economic growths of China and India influence the price of gold?

• Main Authors: Ya-Chien Kuo, 郭雅茜
• Other Authors: 簡美瑟
• Format: Others
• Language: zh-TW
• Published: 101
• Online Access: http://ndltd.ncl.edu.tw/handle/88761859614693761563

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === This study investigated the impact of economic growth in China and India on the price of gold over the period from January 2000 to September 2011. and A variety of time-series methodologies, unit root test, cointegration test, and causality test, error correction models, are applied to investigate the relationship. The empirical results of this study are summarized as follows: First, the empirical results of Johansen’s cointegration showed that the cointegration of gold price, oil price, U.S. interest rate, U.S. stock price and industrial productions of China and India, which implied there is a long-run equilibrium relationship among these variables. Second, according to the results of the error correction model it is unidirectional running from gold price to all of these variables except industrial interest rate. There is bi-directional causality between industrial production of China and U.S. stock price or oil price, while others leads industrial production of China. As to industrial production of India, it lags gold price and leads oil price and industrial production of China, while there is no causality between production of India and U.S stock price or U.S. interest rate. According to the results of the variance decomposition, industrial production of China is the most exogenous, but oil price and industrial production of India are the most endogenous.