The Double Nature of the Gold Price

26 Pages Posted: 15 Nov 2014 Last revised: 4 Jun 2015

See all articles by Lei Ming

Lei Ming

Hunan University - School of Finance and Statistics

Shenggang Yang

Hunan University - School of Finance and Statistics

Cheng Cheng

Hunan University

Date Written: November 4, 2014

Abstract

This paper initially analyzes the constitution of gold price by Ensemble Empirical Mode Decomposition (EEMD) with a data span of 1969-2014. We decompose and categorize the change of the gold price by time frequency into three aspects: high frequency portion, low frequency portion and trend portion. After related high frequency portion and trend portion with gold’s commodity property, and connected low frequency portion with gold’s monetary property, we offer a novel statistical perspective on interpreting gold’s double nature and price change in the last 45 years.

Keywords: Ensemble Empirical Mode Decomposition; Gold Price; Dual Property of Gold

JEL Classification: C4, D4

Suggested Citation

Ming, Lei and Yang, Shenggang and Cheng, Cheng, The Double Nature of the Gold Price (November 4, 2014). Available at SSRN: https://ssrn.com/abstract=2519905 or http://dx.doi.org/10.2139/ssrn.2519905

Lei Ming

Hunan University - School of Finance and Statistics ( email )

Shijiachong Road 109#
Changsha, Hunan 410079
China

Shenggang Yang

Hunan University - School of Finance and Statistics ( email )

Shijiachong Road 109#
Changsha, Hunan 410079
China

Cheng Cheng (Contact Author)

Hunan University ( email )

Shijiachong Road 109#
Changsha, Hunan 410079
China

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