Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold

28 Pages Posted: 9 Feb 2017

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Date Written: February 8, 2017

Abstract

This paper analyzes a large set of factors that potentially influence the price of gold using Bayesian Model Averaging and Ordinary Least Squares for comparison. We examine the evolution of the importance of factors through time, the role of the time horizon (daily versus monthly), contemporaneous and lagged relationships. The estimation results show that there are only a relatively small subset of factors that consistently influence contemporaneous and future gold prices. Many factors that are frequently referred to as being relevant such as consumer prices, interest rates, stock prices and stock market volatility are not consistent in explaining gold price changes.

Keywords: Gold, bayesian model averaging, model uncertainty

JEL Classification: G12, Q02

Suggested Citation

Baur, Dirk G. and Lucey, Brian M., Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold (February 8, 2017). Available at SSRN: https://ssrn.com/abstract=2913538 or http://dx.doi.org/10.2139/ssrn.2913538

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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