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The role of uncertainty measures on the returns of gold

The role of uncertainty measures on the returns of gold
The role of uncertainty measures on the returns of gold

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.

Economic policy uncertainty, Geopolitical risks, Gold market, Oil price volatility, The real value of the USD
0165-1765
Gozgor, Giray
bdc8cabd-6fc3-4d7b-a35a-67ae84c8e439
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Sheng, Xin
8a24155b-bd18-42c8-9afb-3dbcd298e36c
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Gozgor, Giray
bdc8cabd-6fc3-4d7b-a35a-67ae84c8e439
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Sheng, Xin
8a24155b-bd18-42c8-9afb-3dbcd298e36c
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Gozgor, Giray, Lau, Chi Keung Marco, Sheng, Xin and Yarovaya, Larisa (2019) The role of uncertainty measures on the returns of gold. Economics Letters, 185, [108680]. (doi:10.1016/j.econlet.2019.108680).

Record type: Article

Abstract

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.

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The Role of Uncertainty Measures on the Returns of Gold - Accepted Manuscript
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More information

Accepted/In Press date: 7 September 2019
e-pub ahead of print date: 19 September 2019
Published date: 1 December 2019
Keywords: Economic policy uncertainty, Geopolitical risks, Gold market, Oil price volatility, The real value of the USD

Identifiers

Local EPrints ID: 435324
URI: http://eprints.soton.ac.uk/id/eprint/435324
DOI: doi:10.1016/j.econlet.2019.108680
ISSN: 0165-1765
PURE UUID: c6280f0a-f9da-4dd0-b4c1-64caeb4c6213
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 30 Oct 2019 17:30
Last modified: 17 Mar 2024 03:54

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Contributors

Author: Giray Gozgor
Author: Chi Keung Marco Lau
Author: Xin Sheng
Author: Larisa Yarovaya ORCID iD

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