The role of uncertainty measures on the returns of gold

被引：65

作者：

Gozgor, Giray ^{[1
]}

Lau, Chi Keung Marco ^{[2
]}

Sheng, Xin ^{[3
]}

Yarovaya, Larisa ^{[4
]}

机构：

[1] Istanbul Medeniyet Univ, Istanbul, Turkey

[2] Univ Huddersfield, Huddersfield, W Yorkshire, England

[3] Anglia Ruskin Univ, Lord Ashcroft Int Business Sch, Chelmsford CM1 1SQ, England

[4] Univ Southampton, Southampton, Hants, England

来源：

ECONOMICS LETTERS | 2019年 / 185卷

关键词：

Gold market; Economic policy uncertainty; Geopolitical risks; Oil price volatility; The real value of the USD; SAFE HAVEN; FINANCIAL ECONOMICS; STOCK MARKETS; CAUSALITY; HEDGE; PRICE; OIL; DYNAMICS; PATTERNS; BONDS;

D O I：

10.1016/j.econlet.2019.108680

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

By utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are consistent across different frequency bands in short, medium, and long terms. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：7

共 32 条

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