Date of Award

January 2014

Document Type


Degree Name

Master of Science (MS)


Economics & Finance

First Advisor

Prodosh Simlai


In this article, I offer a comprehensive analysis on the factors that influence the gold market in relation to returns to demonstrate that gold moves as a currency. I employed a wide range of macroeconomic and commodity variables to investigate the underlying movements in the gold market. The methodology followed four simple steps; 1) correlation tests, 2) vector autoregression model of two lags, 3) auto-regressive integrated moving average model and 4) generalized autoregressive conditional heoteroskedasticity. This methodology enabled me to

convey that gold moves more as a currency and not as an investment. The main findings of this paper provided a solid foundation for Austrian economists to utilize an econometrics analysis in providing statistically significant variables which influence the gold market. Overall, financial theory does not provide an explanation for movements within the gold market, economists such as Ludwig von Mises argued throughout their career that gold is a true currency and moves according to those principles.