Gold as a hedge against the dollar

By Forrest H. Capie, Terence C. Mills, G. Wood. 2005

587 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/a7cb10aaaaca9bfc3c4690db8709bf3b273880e8

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Citations in the corpus

Gold price dynamics and the role of uncertainty (2018, background): “FX Capie et al. (2005) 1971 to 2004 weekly US, UK, Japan ARDL model hedge for FX FX Pukthuanthong and Roll (2011) 1971 to 2009 daily US, UK, EMU, Japan DCC-GARCH hedge for FX”
Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018, unknown): “Conrad et al. (2018), Catania & Grassi (2017), Dyhrberg (2016), Katsiampa (2017), and Chu et al.”
The Financial Economics of Gold – A Survey (2015, background): “Capie et al. (2005) examine whether gold can act as a hedge against currency risk, specifically as a hedge against Yen/US Dollar and Sterling/US Dollar exchange rates.”
Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021, unknown): “It is a major financial asset for countries and a key component of the global monetary reserves for trading and currency hedging (Capie et al., 2005; Wen et al., 2017).”
The effects of uncertainty measures on the price of gold (2018, background): “The NARDL model is introduced by Sin et al. (2014), and the long-run specification of the gold price can be written as such: ln(𝐺𝑃) = 𝛼0 + 𝛼1ln (𝑂𝑃)𝑡 + + 𝛼2ln (𝑂𝑃)𝑡 − + 𝛼3ln (𝑅𝐸𝐸𝑅)𝑡 + + 𝛼4 ln(𝑅𝐸𝐸𝑅)𝑡 − + 𝛼5ln (𝑉𝐼𝑋)𝑡 + + 𝛼6 ln(𝑉𝐼𝑋)𝑡 − + 𝛼7 ln(𝑆𝐾𝐸𝑊)𝑡 + + 𝛼8 ln(𝑆”
The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks (2019, unknown): “Gold is also an important asset class that serves both as an industrial raw material (commodity) and a store of value during financial distress, currency devaluation and inflation (Capie et al., 2005; Baur and Lucey, 2010).”
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, background): “Capie et al. (2005) examine whether gold could be a hedge against fluctuations of the U.S. dollar.”
Dynamic spillovers between commodity and currency markets (2015, background): “…(i.e., negative) effect on precious metals volatility (Hammoudeh and Yuan, 2008).3 Further, gold can act as a hedge instrument against fluctuations in the foreign exchange value of the United States Dollar (USD) (see, Capie et al., 2005; Hammoudeh et al., 2009; Reboredo, 2013, inter alia).”
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).”
Hedging capabilities of bitcoin. Is it the virtual gold (2016, methodology): “2 Additionally an AR(1) process was identified for the return on bitcoin which will be reflected in the mean equation similarly to the model by Capie et al. (2005).”