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Does the Gold Market Reveal Real Interest Rates?

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  • Levin, Eric
  • Abhyankar, Abhay
  • Ghosh, Dipak

Abstract

The current practice of central banks lending gold to gold producers allows the gold leasing rate to be derived from published data. Gold leasing rates, a potential measure of real world interest rates, are calculated and compared with real interest rates derived from U.K. index-linked gilts. The authors then test for Granger causality between changes in the gap between U.K. and world interest rates and changes in the SDR/Sterling exchange rate. They find evidence of Granger causality in both directions, which is consistent with economic theory. Copyright 1994 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Levin, Eric & Abhyankar, Abhay & Ghosh, Dipak, 1994. "Does the Gold Market Reveal Real Interest Rates?," The Manchester School of Economic & Social Studies, University of Manchester, vol. 62(0), pages 93-103, Suppl..
    • Handle: RePEc:bla:manch2:v:62:y:1994:i:0:p:93-103
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    Cited by:

    1. Brian Lucey & Fergal A. O'connor, 2012. "Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models," The Institute for International Integration Studies Discussion Paper Series iiisdp418, IIIS.
    2. Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, vol. 54(C), pages 54-66.
    3. Thi Hong Van Hoang & Amine Lahiani & David Heller, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Post-Print hal-02012307, HAL.
    4. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    5. Paul, Manas & Bhanja, Niyati & Dar, Arif Billah, 2019. "Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries," Resources Policy, Elsevier, vol. 62(C), pages 378-384.
    6. Shubhasis Dey, 2016. "Historical Events and the Gold Price," Working papers 198, Indian Institute of Management Kozhikode.
    7. Brian M. Lucey & Fergal A. O’Connor, 2013. "Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(3), pages 53-63, September.
    8. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    9. Lee, Adrian D. & Li, Mengling & Zheng, Huanhuan, 2020. "Bitcoin: Speculative asset or innovative technology?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    10. O’Connor, Fergal A. & Lucey, Brian M. & Baur, Dirk G., 2016. "Do gold prices cause production costs? International evidence from country and company data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 186-196.
    11. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.

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