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The threshold effect of market sentiment and inflation expectations on gold price

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  • Huang, Xiaoyong
  • Jia, Fei
  • Xu, Xiangyun
  • Yu shi,

Abstract

Although it is theoretically well established that market sentiment and inflation expectations influence gold price, limited research considers whether such effects vary depending upon the levels of market sentiment and inflation expectations. This paper addresses this gap by examining whether a threshold effect exists in the focal relationships. The results show that both market sentiment and inflation expectations significantly influence gold price only when their levels are beyond a certain threshold. However, market sentiment has a threshold effect only for the period after, rather than before, the global financial crisis. By contrast, a threshold effect is observed for inflation expectations in both before and after the global financial crisis periods. These findings advance our understanding of the effects of market sentiment and inflation expectations on gold price.

Suggested Citation

  • Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
    • Handle: RePEc:eee:jrpoli:v:62:y:2019:i:c:p:77-83
    DOI: 10.1016/j.resourpol.2019.03.014
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    More about this item

    Keywords

    Gold; Market sentiment; Inflation expectation; Threshold effect;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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