거시경제와 실물(금) 시장에 관한 고찰

Another Look between Macro-economy and Gold

There has been quite extensive literature about the relationship between inflation and gold market returns. Not much research has focused on the various global factors. The synchronization of global risk in accordance with financial development and openness has heightened the interest on the impact of the global factors on gold market returns. The paper studies global macroeconomic factors influencing real gold return using 475 monthly observations from January 1, 1974 to July 1, 2013 through the MA-GARCH in mean model. The paper finds that the S&P 500 index and trade-weighted dollar index are important factors, in addition to the projection onto inflation. Interestingly, MSGSI seemed to be the factor which mostly affects gold market returns. T-Bill (3-month) return is also important but not much with corresponding magnitude. The results indicate that gold takes the weak role of hedge against inflation while gold takes the dimm role of safe-haven resort during the severe economic down-turn periods in monthly frequency. Neither oil return nor unemployment rate affects gold return. The order, the direction, or the magnitude of candidate variables would be important in model specification for gold return and volatility. The result was also robust with respect to various model specification and the array order of variables. The findings would shed light on expanding the research about the interactions between the global financial markets and the commodities markets.