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

30 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.

Original languageEnglish
Pages (from-to)1-7
Number of pages7
JournalInternational Review of Financial Analysis
Volume58
Early online date17 Mar 2018
DOIs
Publication statusPublished - Jul 2018

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