Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test

By M. Balcılar, Rangan Gupta, Christian Pierdzioch. 2016

318 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e2366b6ad5f9c75733ed45997507c54a7d5b79b3

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In Economics and Econometrics

Citations in the corpus

Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test (2015, background): “…variables (Balcilar et al. 2014); Karnizova and Li 2014; Balcilar et al. 2015c, equity markets (Gupta et al. 2014; Balcilar et al. 2015d; Balcilar et al. 2015e; Bekiros et al., 2015; Brogaard and Detzel 2015; Balcilar et al. forthcoming; Bekiros et al. forthcoming; Li et al.…”
Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, unknown): “To address this research gap, we use the novel, nonparametric causalityin-quantiles test from Balcilar et al. (2016a) to examine the predictability of Bitcoin returns and volatility based on trading volume.”
The effects of uncertainty measures on the price of gold (2018, background): “Balcilar et al. (2016) provide more evidence that gold prices react to measures of economic and political uncertainty.”
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2016, background): “Balcilar et al. (2016) find that uncertainty causes both gold returns and volatility.”
Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production (2017, background): “…sectoral returns has also been examined: Lean and Nguyen (2014) for sustainable investment returns in Asia Pacific and North America; Antonakakis et al. (2016) for U.S. sustainable investments; Balcilar et al. (2016) for gold returns and volatility; Kang et al. (2017) global oil and gas companies.”
Macroeconomic uncertainty indices based on nowcast and forecast error distributions (2015, methodology): “4 The VAR specification is the same as in Baker, Bloom, and Davis (2013), although ours is at a quarterly frequency, and accordingly we use GDP instead of real industrial production. We order the variables as in the benchmark specification of JLN, i.e., from slow to fast moving. Our results are robu”
Measuring the response of gold prices to uncertainty: An analysis beyond the mean (2018, background): “Interestingly, the empirical works that compare the impacts of several uncertainty measures on gold returns are very scarce,2F3 and showed wide differences in their effect on gold price dynamics (for instance, Balcilar et al., 2016; Beckmann et al., 2017).”