THE CONNECTION BETWEEN THE GOLD MARKET AND THE FOREIGN EXCHANGE MARKET OF THE BRICS COUNTRIES

Abstract

In present BRICS economies are important because the economic growth rates will be higher than the growth rates of the United States and the European countries in the near future. The purpose of this study is to demonstrate the connection between gold prices and the foreign exchange markets of the BRICS countries (Brazil, Russia, India, and China). The study used daily data from 2020 to 2022 during the COVID-19 pandemic. The DCC GARCH (1,1) model estimation method was used. The results of the study on the correlation of exchange rates and gold prices revealed that there was a correlation within the members of the BRICS group except China and gold price. The relationship between the volatility of the return of exchange rate within the BRICS group and the return of the gold price. The returns of each variable are correlated in the same direction, but the size is different. The dynamic coefficient, or price of gold, has the least relation to exchange rates with the BRICS members. and the South African rand, the most relationship between BRICS exchange rates and gold prices.