The Double Nature of the Gold Price
26 Pages Posted: 15 Nov 2014 Last revised: 4 Jun 2015
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: Suggested Citation