The Case for Gold Revisited: A Safe Heaven or A Hedge ?
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Dosyalar
Tarih
2012
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
University of Pittsburgh Press
Erişim Hakkı
Özet
This paper attempts to analyze the relation among gold prices and other macroeconomic and financial variables and addresses the question whether gold is a safe haven or a hedge for investors. The study investigates the relationship by using an econometric analysis for top gold exporter and importer countries, for a sample period of 11 years from 2000 to 2011. The results are twofold (i) return of silver, USD returns and change in the volatility index influences gold returns positively whereas, Swiss Franc and Canadian Dollar returns influence gold returns negatively regardless of presence of the 2008 crisis. (ii) In times of stress, our findings indicate that Swiss Franc, Norwegian Krone and Canadian Dollar function as haven whereas, on average, Swiss Franc, Canadian Dollar and 10 year US treasuries function as a hedge against gold but the results show no evidence for the US dollar.
Açıklama
Anahtar Kelimeler
Exchange rates, Gold, Hedge, Safe Haven, GARCH
Kaynak
WoS Q DeÄŸeri
Scopus Q DeÄŸeri
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Sayı
Künye
Emerging Markets Journal Vol 2, No 2 (2012)
