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.
References
Azar, S.A. (2015). The relation of the US dollar with oil prices, gold prices and the US stock market. Research in World Economy, Vol.6(1), 159-171
https://doi.org/10.5430/rwe.v6n1p159
Baur, D. G. & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. The Financial Review, Eastern Finance Association, Vol.45(2), pp. 217-229.
https://doi.org/10.1111/j.1540-6288.2010.00244.x
Beckmann, J., Czudaj, R. and Pilbeam,K. (2015). Causality and volatility patterns between gold prices and exchange rates. The North American Journal of Economics and Finance, 34, 292-300.
https://doi.org/10.1016/j.najef.2015.09.015
Blose, L. E. (2005). How changes in expected inflation affect the gold prices. Seidman College of Business, Grand Valley State University, Michigan Working Paper Series- Document No.005-05.
Broz, J.L. and Frieden, J.A. (2006). 'The political economy of exchange rate', in Weingast, B.(Ed), Hard Book of Political Science. Oxford, NY: University Press.
Capie, F., Mills, T. C. & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, Vol.15(4), pp. 343-352.
https://doi.org/10.1016/j.intfin.2004.07.002
Dickey, D.A. & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, Vol.49(4), pp 1057-1077.
https://doi.org/10.2307/1912517
Figuerola-Ferretti, I. & Gonzalo, J. (2010). Price discovery and hedging properties of gold and silver markets. European Financial Association Annual Conference, School of Business, Aarhus University, Aarhus, Denmark. NGS/2010-Aarhus/EFMA2010_0378_fullpaper.pdf
Faugere, C. and Van Erlach, J. (2005). The price of gold: A Global Required Yield Theory. The Journal of Investing, Vol.14 (1), pp 99-111.
https://doi.org/10.3905/joi.2005.479394
Ghazali, M.F., Lean, H.H., Bahari, Z. (2015). Is gold a good hedge against inflation? Empirical evidene in Malaysia. Kajian Malaysia, 33(1), 69-84
Ghosh, D., Levin, E.J., Macmillan, P. & Wright, R.E. (2002). Gold as an inflation hedge? Studies in Economics and Finance, Vol.22(1), pp 1-25.
https://doi.org/10.1108/eb043380
Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica Vol.37(3), 424-438.
https://doi.org/10.2307/1912791
Güneş, H., Güler, F., Özkalay, M. A. & Laaganjav, B. (2009). Effect of oil price, interest rate and dollar price of Euro on gold price. Empirical Studies In Social Sciences, 6th International Student Conference, Izmir University of Economics, Izmir Turke.
Han, A., Xu, S. & Wang, S. (2008). Australian Dollars exchange rate and gold prices: An Interval Method Analysis. 7th International Symposium on Operations Research and Its Applications,Lijiang, China, pp.46-52,
Jain, A., and Ghosh, S. (2013). Dynamics of gold prices, exchange rate and precious metal prices in India. Resources Policy, 38(1), 88-93
https://doi.org/10.1016/j.resourpol.2012.10.001
Johansen, S. & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-With applications to the demand for money. Journal Oxford Bulletin of Economics & Statistics, Vol.52, Iss.2, pp 169-210.
https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
Joy, M.(2011). Gold and the US dollar: Hedge or heaven? Finance Research Letters, 8, 120-131
https://doi.org/10.1016/j.frl.2011.01.001
Malliaris, A.G., and Malliaris, M. (2013). Are oil, gold and euro inter-related? Time series and neural network analysis. Review of Quantitative Finance and Accounting, 40, 1-14.
https://doi.org/10.1007/s11156-011-0265-9
Mansor, I.H. (2011). Financial market risk and gold investment in an emerging market: The case
of Malaysia. Romanian Journal of Economic Forecasting, 14, 79-89.
Marzo, M. & Zagaglia, P. (2010). Gold and the U.S. Dollar: Tales from the turmoil. Working Paper No. 08-10, Rimini Centre for Economic Analysis, Rimini.
https://doi.org/10.2139/ssrn.1598745
Morris.J.H. (2008). The seeds for this CREDIT CRUNCH were sewn during Reagan Thatcher times. Capitalism would become Corporatism. Retrieved September 11, 2010, from http://morris108.wordpress.com/2008/09/09/the-seeds-for-this-credit- crunch-were-sewn-during-reagan-thatcher-times-capitalism-would-become-corporatism/
Partalidou, X., Kiohos, A. Giannarakis, G., and Sariannidis, N. (2016). The impact of gold, bond, currency, metals and oil markets on the USA stock markets. International Journal of Energy Economics and Policy, 2016, (6)(1), 76-81
Pukthuanthong, K., and Roll, R. (2011). Gold and the dollar (and the euro, pound, and yen). Journal of Banking and Finance, 35(8), 2070-2083.
https://doi.org/10.1016/j.jbankfin.2011.01.014
Seiler, M.J. (2004). Performing Financial Studies. A Methodology Cookbooks. New Jersey: Prentice Hall.
Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Journal of International Money and Finance, Vol.33(2), pp. 118-124.
https://doi.org/10.1016/j.resourpol.2007.10.002
Wang, M. L., Wang, C. P. & Huang, T. Y. (2010). Relationships among oil price, gold price, exchange rate and international stock markets. International Research Journal of Finance and Economic, Issue 47, pp.80-89, 17.
Zagaglia, P. and Marzo, M. (2013). Gold and the Us dollar. Quantitative Finance, 13(4), 571-582.
Copyright (c) 2018 UNIMAS Review of Accounting and Finance
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Copyright Transfer Statement for Journal
1) In signing this statement, the author(s) grant UNIMAS Publisher an exclusive license to publish their original research papers. The author(s) also grant UNIMAS Publisher permission to reproduce, recreate, translate, extract or summarize, and to distribute and display in any forms, formats, and media. The author(s) can reuse their papers in their future printed work without first requiring permission from UNIMAS Publisher, provided that the author(s) acknowledge and reference publication in the Journal.
2) For open access articles, the author(s) agree that their articles published under UNIMAS Publisher are distributed under the terms of the CC-BY-NC-SA (Creative Commons Attribution-Non Commercial-Share Alike 4.0 International License) which permits unrestricted use, distribution, and reproduction in any medium, for non-commercial purposes, provided the original work of the author(s) is properly cited.
3) For subscription articles, the author(s) agree that UNIMAS Publisher holds copyright, or an exclusive license to publish. Readers or users may view, download, print, and copy the content, for academic purposes, subject to the following conditions of use: (a) any reuse of materials is subject to permission from UNIMAS Publisher; (b) archived materials may only be used for academic research; (c) archived materials may not be used for commercial purposes, which include but not limited to monetary compensation by means of sale, resale, license, transfer of copyright, loan, etc.; and (d) archived materials may not be re-published in any part, either in print or online.
4) The author(s) is/are responsible to ensure his or her or their submitted work is original and does not infringe any existing copyright, trademark, patent, statutory right, or propriety right of others. Corresponding author(s) has (have) obtained permission from all co-authors prior to submission to the journal. Upon submission of the manuscript, the author(s) agree that no similar work has been or will be submitted or published elsewhere in any language. If submitted manuscript includes materials from others, the authors have obtained the permission from the copyright owners.
5) In signing this statement, the author(s) declare(s) that the researches in which they have conducted are in compliance with the current laws of the respective country and UNIMAS Journal Publication Ethics Policy. Any experimentation or research involving human or the use of animal samples must obtain approval from Human or Animal Ethics Committee in their respective institutions. The author(s) agree and understand that UNIMAS Publisher is not responsible for any compensational claims or failure caused by the author(s) in fulfilling the above-mentioned requirements. The author(s) must accept the responsibility for releasing their materials upon request by Chief Editor or UNIMAS Publisher.
6) The author(s) should have participated sufficiently in the work and ensured the appropriateness of the content of the article. The author(s) should also agree that he or she has no commercial attachments (e.g. patent or license arrangement, equity interest, consultancies, etc.) that might pose any conflict of interest with the submitted manuscript. The author(s) also agree to make any relevant materials and data available upon request by the editor or UNIMAS Publisher.
