The effects of uncertainty measures on the price of gold

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

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34 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
DOIs	https://doi.org/10.1016/j.irfa.2018.03.009
Publication status	Published - 12 Jul 2018

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© 2018 Elsevier Inc.

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Copyright 2018 Elsevier B.V., All rights reserved.

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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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The effects of uncertainty measures on the price of gold

Abstract

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