Determinants of Gold Prices in Indonesia: The Influence of Inflation, Exchange Rate, Oil Prices, Capital Market Performance, and Global Gold Prices (XAU/USD)
DOI:
https://doi.org/10.55606/ijemr.v5i2.770Keywords:
Antam Gold Price, Impulse Response, Inflation, Ordinary Least Square, Vector AutoregressionAbstract
This study aims to analyze the determinants of gold prices in Indonesia (Antam) by examining the strength of the influence of inflation, exchange rates (USD/IDR), world oil commodity prices, capital market performance (IHSG), and world gold prices (XAUUSD). Using monthly time series data in a comprehensive time span from 2009 to 2025, this study applies two analytical approaches: Ordinary Least Square (OLS) to capture static relationships and Vector Autoregression (VAR) to capture the dynamics of reciprocal relationships and time lags between variables. The OLS estimation results show that statically, world gold prices and exchange rates are the most dominant main determinants in influencing domestic gold prices, while inflation does not show a significant effect instantly. However, through the VAR approach, information transmission dynamics are found where inflation has a significant positive effect on gold prices with a one-month lag (lag-1). This finding empirically proves that gold in Indonesia functions as an effective inflation hedge in a dynamic time frame. Furthermore, an Impulse Response Function (IRF) analysis revealed that inflation shocks require nine periods to return to equilibrium. This study concludes that the gold price formation mechanism in Indonesia is a result of global market integration and a response to dynamic domestic monetary stability.
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