Vliv Kvantitativního Uvolňování na Ceny Zlata

This thesis examines the relationship between the Federal Reserve's quantitative easing policy and the U.S. dollar price of gold. Using the Federal Reserve's total assets as a proxy for the scale of quantitative easing, the analysis quantifies the short-run and long-run effects of balance-sheet expansion on the gold price, while controlling for the real interest rate, the U.S. Dollar Index, inflation expectations and financial-market volatility. The empirical part employs an Autoregressive Distributed Lag bounds-testing approach within an Unrestricted Error-Correction Model framework, following Pesaran et al. (2001), estimated on monthly data covering January 2003 to December 2024. The bounds test on the ARDL(3,1,3,2,1,2) specification produces a statistically significant F-statistic, yet the error-correction coefficient is statistically insignificant. Following Pesaran et al. (2001) and McNown et al. (2018), the thesis identifies this combination as a degenerate case of the first type. Consequently, no stable long-run relationship between quantitative easing and the gold price can be confirmed. On the short-run horizon, however, the real interest rate, the dollar index, inflation expectations and financial-market volatility all exert statistically significant coefficients, consistent with theoretical expectations, and the balance-sheet effect itself is positive and significant at the 10 percent level. The thesis concludes that quantitative easing is associated with the price of gold primarily through short-run transmission channels rather than through a stable, structural long-run equilibrium.