The effects of uncertainty measures on the price of gold

Mehmet Huseyin Bilgin; Giray Gozgor; Chi Keung Lau; Xin Sheng

doi:10.1016/j.irfa.2018.03.009

The effects of uncertainty measures on the price of gold

Mehmet Huseyin Bilgin, Giray Gozgor, Chi Keung Lau, Xin Sheng

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Abstract

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.

Original language	English
Pages (from-to)	1-7
Number of pages	7
Journal	International Review of Financial Analysis
Volume	58
Early online date	17 Mar 2018
DOIs	https://doi.org/10.1016/j.irfa.2018.03.009
Publication status	Published - Jul 2018

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Uncertainty and Gold Market_Manuscript Feb 2018_FINAFINAL_NO TRACKAccepted author manuscript, 554 KBLicence: CC BY-NC-ND

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abstract = "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.",

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AU - Lau, Chi Keung

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AB - 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.

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KW - Partisan conflict

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The effects of uncertainty measures on the price of gold

Abstract

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