Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period

Tauhidul Islam Tanin, Ashutosh Sarker, Robert Brooks

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)


We apply the nonlinear autoregressive distributed lag method to examine the relationships between seven leading currency exchange rates and gold prices using daily data from January 2017 to April 2021. The results reveal that in the short term, while negative United States dollar (USD) to United Kingdom pound, negative USD to Canadian dollar, negative USD to Japanese yen, negative USD to Danish krone, and positive USD to euro exchange rates increase gold prices, a lagged positive USD to euro and lagged positive USD to Danish krone exchange rates decrease gold prices. A test of the pre-pandemic normal period reveals that the uneven and unpredictable impacts of six exchange rates on gold prices are particularly due to COVID-19. We find efficiency in the gold market, in line with the market efficiency hypothesis and random walk theory. Our findings indicate that gold acts as a safe-haven asset for investors during COVID-19.

Original languageEnglish
Article number101868
Number of pages10
JournalInternational Review of Financial Analysis
Publication statusPublished - Oct 2021


  • COVID-19 pandemic
  • Exchange rates
  • Gold prices
  • Nonlinear ARDL (NARDL)
  • Uncertainty

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