The effects of uncertainty measures on the price of gold

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

Research output: Contribution to journalArticle

5 Citations (Scopus)

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.

LanguageEnglish
Pages1-7
Number of pages7
JournalInternational Review of Financial Analysis
Volume58
Early online date17 Mar 2018
DOIs
Publication statusPublished - Jul 2018

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Economic policy
Uncertainty
Gold price
Policy uncertainty
Autoregressive distributed lag model
Asymmetric effects
Skewness
Volatility index

Cite this

Bilgin, Mehmet Huseyin ; Gozgor, Giray ; Lau, Chi Keung ; Sheng, Xin. / The effects of uncertainty measures on the price of gold. In: International Review of Financial Analysis. 2018 ; Vol. 58. pp. 1-7.
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The effects of uncertainty measures on the price of gold. / Bilgin, Mehmet Huseyin; Gozgor, Giray; Lau, Chi Keung; Sheng, Xin.

In: International Review of Financial Analysis, Vol. 58, 07.2018, p. 1-7.

Research output: Contribution to journalArticle

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