The role of uncertainty measures on the returns of gold

Giray Gozgor, Chi Keung Marco Lau, Xin Sheng, Larisa Yarovaya

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

By utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are consistent across different frequency bands in short, medium, and long terms.
Original languageEnglish
Article number108680
Pages (from-to)1-7
Number of pages7
JournalEconomics Letters
Volume185
Early online date19 Sep 2019
DOIs
Publication statusPublished - 1 Dec 2019

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