The effects of uncertainty measures on the price of gold
By M. Bilgin, Giray Gozgor, Chi Keung Marco Lau, X. Sheng. International Review of Financial Analysis, 2018
156 citations recorded by the source corpus.
This paper analyzes the determinants of the price of gold with a special focus on four uncertainty measures (namely, the volatility (VIX), skewness (SKEW), global economic policy uncertainty (EPU), and partisan conflict (PC) indexes). The nonlinear Autoregressive-distributed Lag (ARDL) model is used to investigate the asymmetric effect of uncertainty measures on gold prices. The results show that rising economic policy uncertainty contributes to increases in the price of gold. By contrast, gold prices are less likely to fall when economic policy conditions are improved.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/90f930c2289d6f328a89861db049fbe9e1240e83
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In Economics and Econometrics
- X. Vo
- Sang Hoon Kang
- Walid Mensi
- Ender Demir
- Conrado Diego García‐Gómez
- Chi Keung Marco Lau
- S. Simonyan
- Abdel Razzaq Al Rababa'a
Citations in the corpus
- Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, result): “It however supports the other existing findings in the literature for the potential of using gold as a safe haven (e.g., Flavin et al., 2014; Bilgin et al., 2018; Gozgor et al., 2019).”
- The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model (2020, methodology): “The literature uses the Non-linear Autoregressive Distributed Lag (NARDL) approach to examine the asymmetric effects of exchange rates to exports (Verheyen, 2013), uncertainty to gold prices (Bilgin et al. 2018), exchange rates to investments (Bahmani‐Oskooee et al.”