Ligita Gaspareniene,

Lithuanian Institute of Agrarian Economics

Vilnius, Lithuania

E-mail: ligita.gaspareniene@laei.lt

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

Rita Remeikiene,

Lithuanian Institute of Agrarian Economics

Vilnius, Lithuania

E-mail: rita.remeikiene@laei.lt

Alius Sadeckas,

JCC “Ekskomisarų biuras“,

Vilnius, Lithuania

E-mail: alius@ebiuras.lt

Romualdas Ginevicius,

Vilnius Gediminas Technical University, Vilnius, Lithuania

E-mail: romualdas.ginevicius@vgtu.lt 

Abstract. During the World War I, most of the countries stopped coin production and began converting paper money into gold. Various forms of exchange were later abolished during the "Great Depression" in 1929-1933. Later, gold lost the value of money in most of the economies worldwide. Multiple price rise of gold caused a real rise in the value of gold reserves and their potential ability to cover the balance of payment deficit. At the same time, it shows that gold still plays an important role in terms of monetary aspect. The aim of this study was to determine whether ARIMA models are suitable for determining the short-term volatility of gold prices. The calculations show that ARIMA model is suitable only for short-term gold price forecasts (max. 1 year). Thus, it is necessary to apply other models (multi-regression ones) that also can reveal the relationship between gold price and its determinants.

Received: January, 2018

1st Revision: April, 2018

Accepted: June, 2018

DOI: 10.14254/2071-789X.2018/11-3/15

JEL Classification: D25

Keywords: gold price, gold price variation, autoregressive model