GRANGER CAUSALITY BETWEEN GOLD, MONEY SUPPLY, EQUITY MARKET, INFLATIONS, AND REAL INTEREST RATES IN A MULTIVARIATE MODEL

摘要

This paper uses monthly data spanning from January 18, 1982 to December 2011 to examine theGranger causal relationship between gold, money supply, stocks, inflations, and real interestrates in a multivariate model. Financial economic theories consider money supply, stocks, andreal interest rates to be determinants that help predict the future price direction of gold in theshort run. This study found that real interest rate alone Granger-causes gold price in a unidirectionway and that there is a statistically significant negative correlation between the two.Federal Reserve's monetary policy shift to a tight money supply could cause the gold pricebubble to break.