An econometric analysis of gold prices in Turkey

For centuries, the value and the importance of protecting the gold, for long periods of time has had an important place in the monetary system. Although it lost its place in the monetary system with the development of international trade and financial markets gradually, today it is still used as a means of finance and investment instrument. In this study, the factors that affect the gold price are tried to determined by investigating the place of gold in the monetary system and demand markets of the world and the Turkey. The gold price of London Bullion Market Association, the Brent Oil price, the U.S. dollar, the America Dow Jones Industrial Index, the average monthly interest rates on time deposits, and the whole sale price index of the Istanbul Stock Exchange 100 index are obtained as factors that affects the Istanbul Gold Exchange gold price and macro-econometric models are established. In the model which is based on Engle-Granger two-step method and predict the best results, the London Bullion Market Association gold prices are obtained as unique and most important variable that affect Istanbul Gold Exchange gold prices. In this study, the Istanbul Gold Exchange gold prices are also estimated with the help of ARCH models. Analysis results show EGARCH (1,1) the best model. According to this model it is seen that, the Dow Jones Industrial Index has a negative influence on the Istanbul Gold Exchange Gold Rates, Association of London Bullion gold prices as a positive influence, Wholesale Price Index as a positive influence and the Istanbul Gold Exchange Gold Prices Volatility which is estimated with the help of ARCH models had influenced negatively.