Exploring a model for volatility of the gold price among the world gold producing countries

Thong, Meng Seng (2025) Exploring a model for volatility of the gold price among the world gold producing countries. Final Year Project, UTAR.

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Abstract

Gold is a dense, thick, lustrous, heavy metal, known for its value throughout history. However, due to recent geopolitical upheavals—such as the Covid-19 pandemic, the Russia-Ukraine war, and the Israel-Gaza conflict—gold prices have been highly volatile amid global economic instability. Therefore, the research objective of the study is to explore how the commodity factors and macroeconomic factors affect gold price in five gold producing countries such as Australia, Canada, China, Ghana, and the United States. The data were used as the panel data from 2014 to 2023, and the total observation of the study is 300 observations. A Cross-Section and Period Fixed Effect Model was selected for this study and inflation rate, consumer priceindex, and crude oil price revealed significant short run relationships with gold price at the 0.10, 0.05 and 0.01 level, respectively. Based on Granger Causality analysis, exchange rate, gasoline price, inflation rate and crude oil price were the long run relationships with gold price in the study. Gold price has unidirectional analyses with exchange rate, gasoline price, and inflation rate whereas crude oil price and gold price have bidirectional analysis. Both the short run and long run analyses suggested that crude oil price is most significant in the study. The novelty of the study is based on the actual data and ex-post forecast data of the five countries; it is discovered that all five countries showed an increasing trend in gold price. Hence, this study provided insights for policymakers and investors that crude oil price may be a primary tool when forecasting gold price. Keywords: Gold Price, Panel Model, World Gold Producing Countries, Volatility JEL Classifications: C23; C58; E44; G15; Q02; Q31

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