Economic and Financial Determinants of Gold ETF Price Volatility on the U.S. Futures Market (COMEX)

Radev, Ljubomir and Golitsis, Petros and Mitreva, Mila (2023) Economic and Financial Determinants of Gold ETF Price Volatility on the U.S. Futures Market (COMEX). Journal of Economics, 8 (2). pp. 12-26. ISSN 1857-9973

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Abstract

The price of gold ETFs on the COMEX market in the USA is influenced by both domestic and international economic and political factors. In our study, we focus on domestic
economic variables as key drivers of gold ETF prices, using the Newey-West estimator to assess their impact, particularly in the presence of significant autocorrelation. Our analysis of domestic determinants over the past 15 years revealed noteworthy insights. CPI, the US dollar exchange rate, interest rates, and crude oil prices negatively affect
gold prices. However, the 30-year fixed mortgage rate and the U.S. Economic Policy Uncertainty index had a positive impact. Gold remains a safe haven in times of economic uncertainty, but our model displayed some weaknesses with strong positive autocorrelation and heteroscedasticity in residuals. To address these issues, we constructed an alternative model, focusing on the most recent five years. Since 2017, we've observed a shift where inflation and interest rates no longer significantly affect
gold prices. Recent interest rate hikes and high inflation had minimal impact, especially during stock market declines. Gold does not appear to act as a hedge against bear
markets as it did during the Global Financial Crisis; instead, the US dollar may fulfill this role. Given the unprecedented economic disruptions caused by the Covid-19
pandemic, further research is needed to explore the effects of domestic financial and economic KPIs on gold prices and their interconnections and spillover effects.

Item Type:	Article
Subjects:	Social Sciences > Economics and business
Divisions:	Faculty of Economics
Depositing User:	Mila Mitreva
Date Deposited:	29 Nov 2023 12:01
Last Modified:	29 Nov 2023 12:01
URI:	https://eprints.ugd.edu.mk/id/eprint/32665

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