Research on the Dynamic Linkage Relationship Between COMEX Gold Futures Prices and Macroeconomic Variables
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Research on the Dynamic Linkage Relationship Between COMEX Gold Futures Prices and Macroeconomic Variables

Yinghao Xiong 1*
1 Beijing Normal-Hong Kong Baptist University
*Corresponding author: curry9909@163.com
Published on 5 November 2025
Journal Cover
AEMPS Vol.236
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-80590-505-9
ISBN (Online): 978-1-80590-506-6
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Abstract

As a core precious metal with dual commodity and financial attributes, gold price fluctuations are profoundly influenced by macroeconomic policies, monetary conditions, and market supply-demand dynamics. As the global benchmark for gold pricing, the COMEX gold futures market generates price signals that hold significant reference value for investors’ asset allocation decisions, central banks’ reserve management practices, and the stability of the global bulk commodity market. Against this backdrop, this study focuses on the dynamic linkage between COMEX gold futures prices and key macroeconomic variables, aiming to quantitatively analyze the short-term impact effects and long-term equilibrium relationships of the U.S. dollar exchange rate, real interest rates, and inflation rates on gold prices. Methodologically, the Vector Autoregression (VAR) model, this research uses monthly data of COMEX gold futures prices, U.S. Dollar Index (DXY), U.S. 10-year Treasury real yields, and U.S. core PCE inflation rate from 2015 to 2024 as the research sample.

Keywords:

COMEX Gold Futures, Macroeconomic Variables, Foreign Exchange Rate, 10-Year Real Interest Rate, CPI, VAR Model

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Xiong,Y. (2025). Research on the Dynamic Linkage Relationship Between COMEX Gold Futures Prices and Macroeconomic Variables. Advances in Economics, Management and Political Sciences,236,72-78.

References

[1]. Frankel, J. (2008). The effect of monetary policy on real commodity prices. NBER Working Paper No. 13913.

[2]. Sjaastad, L. A., & Scacciavillani, F. (1996). The price of gold and the exchange rate. Journal of International Money and Finance, 15(6), 879-897.

[3]. Reboredo, J. C. (2013). Is gold a hedge or safe haven against exchange rate movements? Economic Modelling, 32, 42-47.

[4]. Barsky, R. B., & Summers, L. H. (1988). Gibson's paradox and the gold standard. Journal of Political Economy, 96(3), 528-550.

[5]. Hood, M., & Hobson, M. (2012). Gold and the US dollar: A non-parametric approach for analysing the relationship. Applied Financial Economics, 22(24), 2065-2072.

[6]. Lucey, B. M., & Li, S. (2015). What determines the price of gold? A meta-analysis. Journal of Economic Surveys, 29(3), 549-565.

[7]. Erb, C. B., & Harvey, C. R. (2006). The strategic and tactical value of commodity futures. Financial Analysts Journal, 62(2), 69-97.

[8]. Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229.

[9]. Aye, G. C., Chang, T., & Gupta, R. (2023). Gold's hedging ability against inflation: A fractional cointegration analysis. Resources Policy, 85, 103950

[10]. Wang, Y., & Lee, C. C. (2022). The role of gold in multi-asset portfolios: Does the sampling period matter? *International Review of Economics & Finance, 77, 1-16

[11]. Jones, B., & Mercer, A. (2021). The dynamic relationship between gold futures, real rates and the dollar: A TVP-VAR analysis. Journal of Futures Markets, 41(5), 675-699.

References

[1]. Frankel, J. (2008). The effect of monetary policy on real commodity prices. NBER Working Paper No. 13913.

[2]. Sjaastad, L. A., & Scacciavillani, F. (1996). The price of gold and the exchange rate. Journal of International Money and Finance, 15(6), 879-897.

[3]. Reboredo, J. C. (2013). Is gold a hedge or safe haven against exchange rate movements? Economic Modelling, 32, 42-47.

[4]. Barsky, R. B., & Summers, L. H. (1988). Gibson's paradox and the gold standard. Journal of Political Economy, 96(3), 528-550.

[5]. Hood, M., & Hobson, M. (2012). Gold and the US dollar: A non-parametric approach for analysing the relationship. Applied Financial Economics, 22(24), 2065-2072.

[6]. Lucey, B. M., & Li, S. (2015). What determines the price of gold? A meta-analysis. Journal of Economic Surveys, 29(3), 549-565.

[7]. Erb, C. B., & Harvey, C. R. (2006). The strategic and tactical value of commodity futures. Financial Analysts Journal, 62(2), 69-97.

[8]. Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229.

[9]. Aye, G. C., Chang, T., & Gupta, R. (2023). Gold's hedging ability against inflation: A fractional cointegration analysis. Resources Policy, 85, 103950

[10]. Wang, Y., & Lee, C. C. (2022). The role of gold in multi-asset portfolios: Does the sampling period matter? *International Review of Economics & Finance, 77, 1-16

[11]. Jones, B., & Mercer, A. (2021). The dynamic relationship between gold futures, real rates and the dollar: A TVP-VAR analysis. Journal of Futures Markets, 41(5), 675-699.

Cite this article

Xiong,Y. (2025). Research on the Dynamic Linkage Relationship Between COMEX Gold Futures Prices and Macroeconomic Variables. Advances in Economics, Management and Political Sciences,236,72-78.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

About volume

Volume title: Proceedings of ICFTBA 2025 Symposium: Financial Framework's Role in Economics and Management of Human-Centered Development

ISBN: 978-1-80590-505-9(Print) / 978-1-80590-506-6(Online)
Editor: Lukáš Vartiak, Habil. Florian Marcel Nuţă
Conference website: https://2025.icftba.org/Galati.html
Conference date: 17 October 2025
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.236
ISSN: 2754-1169(Print) / 2754-1177(Online)

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