Show simple item record

dc.contributor.authorLUCEY, BRIANen
dc.date.accessioned2014-02-27T15:02:08Z
dc.date.available2014-02-27T15:02:08Z
dc.date.issued2014en
dc.date.submitted2014en
dc.identifier.citationLucey, Brian M. O'Connor, Fergal A., Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Models, Borsa Istanbul Review, 13, 3, 2014, 53 - 56en
dc.identifier.otherYen
dc.identifier.urihttp://hdl.handle.net/2262/68167
dc.descriptionPUBLISHEDen
dc.description.abstractWe assess whether two classes of bubbles occur in the spot price of gold, rational speculative and periodically bursting bubbles, using gold?s lease rates for the first time in the literature as a measure of its fundamental value. This question is of particular significance as these are the only observable market measures of a yield that can be earned from gold. We use unit root and cointegration tests to look for rational speculative bubbles and Markov Switching Augmented Dickey-Fuller tests for periodically bursting bubbles. ADF and cointegration tests point to a rational speculative bubble. The more theoretically valid Markov Switching ADF test gives mixed evidence. No bubble is found to be present if we allow the variance to switch between regimes, the gold and its lease rate relationship is instead characterised by high and low variance periods. Imposing a constant variance gives evidence of a bubble for the 2, 3 and 12 month lease rates, but no bubble when we use the 1 and 6 month rates as determinants.en
dc.format.extent53en
dc.format.extent56en
dc.language.isoenen
dc.relation.ispartofseriesBorsa Istanbul Reviewen
dc.relation.ispartofseries13en
dc.relation.ispartofseries3en
dc.rightsYen
dc.subjectGold,en
dc.subjectMarkoven
dc.titleDo Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Modelsen
dc.typeJournal Articleen
dc.type.supercollectionscholarly_publicationsen
dc.type.supercollectionrefereed_publicationsen
dc.identifier.peoplefinderurlhttp://people.tcd.ie/bluceyen
dc.identifier.rssinternalid92229en
dc.rights.ecaccessrightsOpenAccess
dc.subject.TCDThemeInternational Integrationen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record