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    The effects of US macroeconomic data on gold market
    (İstanbul Bilgi Üniversitesi, 2019) Erkan, Ramazan Enver; Öztürk, Serda Selin
    ABSTRACT: This study examines the effects of the main US economic data on the gold return and volatility, in the economic recovery period following the loose monetary policies of the Federal Reserve (Fed) implemented in the aftermath of the 2008 financial crisis and aims to reach the most proper economic data set. For this purpose, using the ARCH, GARCH and EGARCH econometric models, the effects of these data on the gold return and volatility and the rate of spread were examined and the effects of the positive and negative surprise variables on price and volatility were investigated. Within the framework of macroeconomic assumptions, five variables that we regard as the most important ones are taken into consideration and the degree of reflecting the positive and negative surprises on daily gold return is examined. The purpose of analysing the effects of new news on daily pricing instead of instant pricing is to reach the rational information by including the effect of spreading of the data. Our observations show that the effects of the economic data announcements in the current conjuncture, except for the two variables considered by the investors as the most “game changer”, and are attenuated as the time frame progresses. This shows that the five variables we consider within the framework of macroeconomic assumptions can be further reduced. The findings of our study revealed that the positive surprises of US macroeconomic data affected the gold return negatively, and the negative surprises affected the gold return positively. In the 2015-2018 period, when the Fed was in the process of increasing interest rates through loose monetary policy, the data that were better than expected gave a positive opinion about the economic trend and directed the investors to USD and equities more; rather than gold. The good news about the economy increases investors' belief that the Fed will raise interest rates faster.