Gold Price Responses to Macroeconomic Changes in Indonesia: Short-Run Evidence within the Autoregressive Distributed Lag (ARDL) Framework

Abstract

Movements in gold prices are often viewed as a response to economic uncertainty and financial market volatility, making gold function as a safe haven for investors. This study aims to analyze the influence of the rupiah exchange rate, inflation, the Jakarta Composite Index (IHSG), and interest rates on gold prices in Indonesia, as well as to examine the extent to which gold serves as a safe-haven asset. The research employs time series data over a specified observation period (to be adjusted) and uses the Autoregressive Distributed Lag (ARDL) method as the analytical approach. A stationarity test is conducted to ensure that no variable is integrated at order I(2), thereby validating the use of the ARDL bounds testing procedure. The results show that The ARDL results indicate cointegration, supported by a significant negative ECM(–1), but no long-run variable significantly affects gold prices. In the short run, exchange rates, lagged inflation, the IHSG, and interest rates significantly influence gold price movements, showing that gold in Indonesia responds mainly to short-term financial fluctuations rather than stable long-term determinants. The significant error-correction term further confirms that short-run shocks are corrected toward equilibrium over time.