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Modelling the Impact of Government Policies on Import on Domestic Price of Indian Gold Using ARIMA Intervention Method

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  • Jyothi Unnikrishnan
  • Kodakanallur Krishnaswamy Suresh

Abstract

The study attempts to determine the impact of government policies of import of gold in India on the domestic price of gold during 2013 using Autoregressive Integrated Moving Average (ARIMA) intervention model. 2013 was an amazing year for Indian gold market where the price had reached its zenith. In April 2013, to curb a record trade deficit, India imposed an import duty of 10 percent on gold and tied imports for domestic consumption to exports, creating scarce supply of the yellow metal and boosting premiums to curtail the Current Account Deficit (CAD). The objective of the paper is to model the impact of this intervention by the government on the domestic price of Indian gold. Suitable ARIMA model is fit on the preintervention period and thereafter the effects of the interventions are analysed. The results indicate that ARIMA is the most suitable model during preintervention period. Intervention analysis reveals that there is significant decrease in domestic price of gold by 56% from 2013. The model may be used by policymakers to analyse the future of gold before framing regulations and policies.

Suggested Citation

  • Jyothi Unnikrishnan & Kodakanallur Krishnaswamy Suresh, 2016. "Modelling the Impact of Government Policies on Import on Domestic Price of Indian Gold Using ARIMA Intervention Method," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2016, pages 1-6, September.
    • Handle: RePEc:hin:jijmms:6382926
    DOI: 10.1155/2016/6382926
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    References listed on IDEAS

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    1. Bianchi, Lisa & Jarrett, Jeffrey & Choudary Hanumara, R., 1998. "Improving forecasting for telemarketing centers by ARIMA modeling with intervention," International Journal of Forecasting, Elsevier, vol. 14(4), pages 497-504, December.
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    1. Xue, Jian & Ding, Jing & Zhao, Laijun & Zhu, Di & Li, Lei, 2022. "An option pricing model based on a renewable energy price index," Energy, Elsevier, vol. 239(PB).

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