Heterogeneous expectations in the gold market: Specification and estimation

Baur, DG; Glover, KJ

Heterogeneous expectations in the gold market: Specification and estimation

Baur, DG Glover, KJ

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Publication Type:: Journal Article
Citation:: Journal of Economic Dynamics and Control, 2014, 40 pp. 116 - 133
Issue Date:: 2014-03-01

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Field	Value	Language
dc.contributor.author	Baur, DG	en_US
dc.contributor.author	Glover, KJ https://orcid.org/0000-0002-1518-3482	en_US
dc.date.issued	2014-03-01	en_US
dc.identifier.citation	Journal of Economic Dynamics and Control, 2014, 40 pp. 116 - 133	en_US
dc.identifier.issn	0165-1889	en_US
dc.identifier.uri	http://hdl.handle.net/10453/121968
dc.description.abstract	The increase in the price of gold between 2002 and 2011 appears to be a candidate for a potential asset price 'bubble', suggesting that chartists (feedback traders) were highly active in the gold market during this period. Hence, this paper develops and tests empirically several models incorporating heterogeneous expectations of agents, specifically fundamentalists and chartists, for the gold market. The empirical results show that both agent types are important in explaining historical gold prices but that the 10-year bull run of gold in the early 2000s is consistent with the presence of agents extrapolating long-term trends. Technically this paper is a further step toward providing an empirical foundation for certain assumptions used in the heterogeneous agents literature. For example, the empirical results presented in this paper compare the economical and statistical significance of numerous switching variable specifications that are generally only introduced ad hoc. © 2014 Elsevier B.V.	en_US
dc.relation.ispartof	Journal of Economic Dynamics and Control	en_US
dc.relation.isbasedon	10.1016/j.jedc.2014.01.001	en_US
dc.subject.classification	Economics	en_US
dc.title	Heterogeneous expectations in the gold market: Specification and estimation	en_US
dc.type	Journal Article
utslib.citation.volume	40	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	40	en_US

Abstract:

The increase in the price of gold between 2002 and 2011 appears to be a candidate for a potential asset price 'bubble', suggesting that chartists (feedback traders) were highly active in the gold market during this period. Hence, this paper develops and tests empirically several models incorporating heterogeneous expectations of agents, specifically fundamentalists and chartists, for the gold market. The empirical results show that both agent types are important in explaining historical gold prices but that the 10-year bull run of gold in the early 2000s is consistent with the presence of agents extrapolating long-term trends. Technically this paper is a further step toward providing an empirical foundation for certain assumptions used in the heterogeneous agents literature. For example, the empirical results presented in this paper compare the economical and statistical significance of numerous switching variable specifications that are generally only introduced ad hoc. © 2014 Elsevier B.V.

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http://hdl.handle.net/10453/121968