Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold
28 Pages Posted: 9 Feb 2017
Date Written: February 8, 2017
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: Suggested Citation