Examining the Effect of Structural Shocks from Central Bank Interventions, Exchange Rate Expectations, and Global Gold Prices on the Overpricing of Gold Coins

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Anna, Matin | 2025

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 58326 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Rahmati, Mohammad Hossein
Abstract:
We study the persistent price differential between the price of a gold coin and the value of the gold used in it as a proxy for exchange rate expectations. Given the specific structure governing the gold coin market from 2018 to 2024 and the limited capacity of the Central Bank to intervene in the coin market, we use a structural BVAR model with daily price data to identify three structural shocks: global gold prices, exchange rate expectations, and Central Bank intervention in the foreign exchange market. Our results show that, during the occurrence of an expectations shock, the price of the coin is more affected than the exchange rate; moreover, Central Bank intervention in the foreign exchange market has a lesser impact due to the presence of a coin bubble, such that more than half of the intervention's effect on the exchange rate is neutralized in less than a week
Keywords:
Structural Vector Autoregressive (SVAR)Model ; Exchange Rate ; Exchange Rate Expectations ; Foreign Exchange Intervention ; Bayesian Vector Autoregression (BVAR)Model ; Gold Coin