Abstract:
The links between exchange-rate movements and gold-price fluctuations
have been extensively studied in earlier research using various econometric techniques.
Our contribution to this research is that we apply a novel nonparametric causality-inquantiles
test to study the causal links between exchange-rate movements and goldprice
fluctuations. We use daily data for the sample period 1994–2015 for major goldproducing
countries to illustrate the novel test. We find that, for the majority of
countries, gold-price fluctuations help to predict in sample the returns and the volatility
of exchange rates. While exchange-rate movements predict in sample gold volatility,
they do not predict gold returns.
