Macroeconomic shocks and asymmetric gold price responses: evidence from a developing economy

Purpose This study examines the asymmetric effects of key domestic macroeconomic shocks – inflation, interest rates, exchange rates and economic growth – on domestic gold prices in Vietnam while incorporating world gold prices as the external price anchor of the market. Design/methodology/approach The study uses monthly time-series data over the period 2015–2024 and applies the nonlinear autoregressive distributed lag model. Findings The empirical results reveal the existence of a long-run co-integration relationship between gold prices and macroeconomic variables. Inflation and exchange rates exhibit significant asymmetric effects. Interest rates are insignificant in the short run but exert a significant negative impact in the long run, whereas economic growth is significant only in the long run and also has a negative effect. World gold prices have a positive and statistically significant impact in both the short and the long run, highlighting the leading role of the international market in shaping domestic gold prices. Originality/value This study differs from previous research by developing a nonlinear analytical framework that links gold prices with multiple macroeconomic factors and by extending the model to include key variables such as inflation, interest rates, exchange rates, economic growth and world gold prices. In particular, it focuses on examining asymmetric effects by comparing the responses of gold prices to positive and negative shocks, thereby clarifying the nonlinear transmission mechanism underlying gold price dynamics in the context of Vietnam.