International Journal of

ADVANCED AND APPLIED SCIENCES

EISSN: 2313-3724, Print ISSN: 2313-626X

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 Volume 9, Issue 3 (March 2022), Pages: 1-9

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 Original Research Paper

 Title: Analysis of cointegration and causality relations between gold prices and selected financial indicators: Empirical evidence from Turkey

 Author(s): Enez Kan 1, *, Zehra Vildan Serin 2

 Affiliation(s):

 1Institute of Social Sciences, Hasan Kalyoncu University, Gaziantep, Turkey
 2Faculty of Economics, Administrative and Social Sciences, Hasan Kalyoncu University, Gaziantep, Turkey

  Full Text - PDF          XML

 * Corresponding Author. 

  Corresponding author's ORCID profile: https://orcid.org/0000-0002-4740-4497

 Digital Object Identifier: 

 https://doi.org/10.21833/ijaas.2022.03.001

 Abstract:

This paper explores the dynamic relationships between gold prices and selected financial indicators (such as prices, inflation rate, deposit interest rate, exchange rate, and the Istanbul Stock Exchange National 100 index) in Turkey between the 2000-2019 period using the Fourier Toda-Yamamoto causality tests. Firstly, the ADF unit root test is applied to examine the stationary of the variables. Then Gregory-Hansen and Arai-Kurozumi cointegration tests, the Dynamic Least Squares (DOLS) approach, are employed to determine the coefficient size and direction of the variables. The findings reveal that the relationship between the inflation rate and the BIST100 index is positive and significant, while the relationship between interest rates is negative and significant. Also, the relationship between exchange rates is negative and insignificant in the study. Additionally, the impacts of the global economic crisis of 2008, which is used as a dummy variable in the study, on gold prices in Turkey are found to be positive and significant. This study indicates that gold is the safe haven for investors from 2000 to 2019 in Turkey. The findings of this paper might contribute both to investors in Turkey and future research on the determination of gold prices. 

 © 2022 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

 Keywords: Gold, Inflation rate, Structural break, Cointegration, Fourier Toda-Yamamoto

 Article History: Received 6 July 2021, Received in revised form 25 October 2021, Accepted 7 December 2021

 Acknowledgment 

This article is derived from Ph.D. dissertation of Dr. Enez Kan, entitled "Investigating the Relationship Between Gold Prices, Exchange Rate, Interest Rate and ISE 100: Cointegration and Causality Analysis."

 Compliance with ethical standards

 Conflict of interest: The author(s) declared no potential conflicts of interest with respect to the research, authorship, and/or publication of this article.

 Citation:

 Kan E and Serin ZV (2022). Analysis of cointegration and causality relations between gold prices and selected financial indicators: Empirical evidence from Turkey. International Journal of Advanced and Applied Sciences, 9(3): 1-9

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 Tables

 Table 1 Table 2 Table 3 Table 4 Table 5 Table 6 Table 7 Table 8 Table 9  

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