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model (VECM) in order to check the long-run and short-run causality. Johansen
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variables in the study. In further analysis, Wald’s coefficient diagnosis and residual
analysis revealed that gold prices, SENSEX, USD/INR and S&P CNX NIFTY are in
equilibrium in the short run and long run. Granger causality test finally confirms the
presence of unidirectional causality that runs from gold prices to S&P CNX NIFTY and
also from gold prices to USD/INR exchange rate at current prices.
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