Is gold a safe haven or a hedge for the US dollar? Implications for risk management

By Juan Carlos Reboredo. 2013

482 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9cf84441bc70a1246b79ba7832a69b1cf81cdb2d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Does gold offer a better protection against losses in sovereign debt bonds than other metals (2014, background): “It has also been widely documented that gold protects investors’ wealth against fluctuations in the foreign exchange value of the US dollar (Capie et al., 2005; Pukthuanthong and Roll, 2011; Reboredo, 2013 and Ciner et al., 2013).”
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Other researchers have investigated the commodity cross-market linkages between the oil and goldmarkets (e.g., Soytas et al., 2009; Reboredo, 2013; Yaya et al., 2016) and oil–agricultural relationships (e.g. Du et al., 2011; Nazlioglu et al., 2013; Mensi et al., 2014, 2015).”
Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016, background): “Recent co-movements in gold and oil prices have increased interest level of researchers in examining linkages between gold and oil as their price movements have important implications for an economy and the financial markets (Reboredo, 2013).”
Forecasting precious metal returns with multivariate random forests (2018, unknown): “…and various aspects of the links between precious metal prices and important economic variables like exchange rates, interest rates, and the oil price (Beckmann and Czudaj 2013; Pukthuanthong and Roll 2011; Reboredo 2013a, b; Pierdzioch et al. 2016a, b; Balcilar et al. 2017, to name just a few).”
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “Also, oil has been linked with gold (Aguilera and Radetzki, 2017; Reboredo, 2013; Wang and Chueh, 2013; Zhang and Wei, 2010) and industrial metals (see Adekoya and Oliyide, 2020).”
Are cryptocurrencies connected to forex? A quantile cross-spectral approach (2019, background): “Of course, most studies so far have provided evidence that gold has good hedge and safe haven properties (e.g., Baur and Lucey, 2010; Reboredo, 2013; Baumöhl and Lyócsa, 2017).”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, unknown): “In particular, a falling dollar would lead to an increase in the nominal dollar price of oil and gold (to maintain their real value), which has been confirmed by Capie et al. (2005) and Reboredo (2013b) for gold.”
Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021, unknown): “The literature has demonstrated that exchange rates have a strong power for forecast‑ ing commodity prices (Chen et al., 2010) and especially gold‑price fluctuations (Pukth‑ uanthong & Roll, 2011; Reboredo, 2013).”
Dynamic spillovers between commodity and currency markets (2015, background): “All these variables are also examined in Reboredo (2013), whereas the EUR/USD, JPY/USD and GBP/USD exchange rates are investigated by Pukthuanthong and Roll (2011).”