An overview of global gold market and gold price forecasting

Shafiee, Shahriar and Topal, Erkan (2010) An overview of global gold market and gold price forecasting. Resources Policy, 35 3: 178-189. doi:10.1016/j.resourpol.2010.05.004

Author Shafiee, Shahriar
Topal, Erkan
Title An overview of global gold market and gold price forecasting
Journal name Resources Policy   Check publisher's open access policy
ISSN 0301-4207
Publication date 2010-09
Sub-type Article (original research)
DOI 10.1016/j.resourpol.2010.05.004
Volume 35
Issue 3
Start page 178
End page 189
Total pages 12
Place of publication Exeter, England
Publisher Elsevier
Collection year 2011
Language eng
Abstract The global gold market has recently attracted a lot of attention and the price of gold is relatively higher than its historical trend. For mining companies to mitigate risk and uncertainty in gold price fluctuations, make hedging, future investment and evaluation decisions, depend on forecasting future price trends. The first section of this paper reviews the world gold market and the historical trend of gold prices from January 1968 to December 2008. This is followed by an investigation into the relationship between gold price and other key influencing variables, such as oil price and global inflation over the last 40 years. The second section applies a modified econometric version of the long-term trend reverting jump and dip diffusion model for forecasting natural-resource commodity prices. This method addresses the deficiencies of previous models, such as jumps and dips as parameters and unit root test for long-term trends. The model proposes that historical data of mineral commodities have three terms to demonstrate fluctuation of prices: a long-term trend reversion component, a diffusion component and a jump or dip component. The model calculates each term individually to estimate future prices of mineral commodities. The study validates the model and estimates the gold price for the next 10 years, based on monthly historical data of nominal gold price. © 2010 Elsevier Ltd.
Keyword Historical gold market
Forecasting mineral prices
Long-term trend reverting
Jump and dip diffusion
Resource Commodity Prices
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: School of Mechanical & Mining Engineering Publications
Official 2011 Collection
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Citation counts: TR Web of Science Citation Count  Cited 46 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 65 times in Scopus Article | Citations
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Created: Sun, 24 Oct 2010, 00:02:18 EST