The role of uncertainty measures on the returns of gold

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

doi:10.1016/j.econlet.2019.108680

The role of uncertainty measures on the returns of gold

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

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

62 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 language	English
Article number	108680
Pages (from-to)	1-7
Number of pages	7
Journal	Economics Letters
Volume	185
Early online date	19 Sep 2019
DOIs	https://doi.org/10.1016/j.econlet.2019.108680
Publication status	Published - 1 Dec 2019

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manuscript_ELAccepted author manuscript, 632 KBLicence: CC BY-NC-ND

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title = "The role of uncertainty measures on the returns of gold",

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.",

keywords = "Gold market, Economic policy uncertainty, The real value of the USD, Geopolitical risks, Oil price volatility, VIX",

author = "Giray Gozgor and Lau, {Chi Keung Marco} and Xin Sheng and Larisa Yarovaya",

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AU - Gozgor, Giray

AU - Lau, Chi Keung Marco

AU - Sheng, Xin

AU - Yarovaya, Larisa

PY - 2019/12/1

Y1 - 2019/12/1

N2 - 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.

AB - 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.

KW - Gold market

KW - Economic policy uncertainty

KW - The real value of the USD

KW - Geopolitical risks

KW - Oil price volatility

KW - VIX

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JF - Economics Letters

SN - 0165-1765

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The role of uncertainty measures on the returns of gold

Abstract

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