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

Istanbul Medeniyet University

Research output: Contribution to journal › Article › peer-review

147 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 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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This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 8 Decent Work and Economic Growth
SDG 9 Industry, Innovation, and Infrastructure

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

Cite this

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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

AU - Sheng, Xin

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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 - VIX

KW - Partisan conflict

KW - Price of oil

KW - Real exchange rate

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JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

ER -

The effects of uncertainty measures on the price of gold

Abstract

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