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

8 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
Journal	Economics Letters
Volume	185
DOIs	https://doi.org/10.1016/j.econlet.2019.108680
Publication status	Published - 19 Sept 2019

Bibliographical note

Funding Information:
The authors would like to thank the participants to the Commodity Session in INFINITI Conference on International Finance 2019 in Glasgow for useful comments to enhance the merit of the paper. The usual disclaimer applies.

Publisher Copyright:
© 2019 Elsevier B.V.

Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.

Access to Document

10.1016/j.econlet.2019.108680

Cite this

@article{4c90fef813c64035b750f0852ed00026,

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.",

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

note = "Funding Information: The authors would like to thank the participants to the Commodity Session in INFINITI Conference on International Finance 2019 in Glasgow for useful comments to enhance the merit of the paper. The usual disclaimer applies. Publisher Copyright: {\textcopyright} 2019 Elsevier B.V. Copyright: Copyright 2019 Elsevier B.V., All rights reserved.",

year = "2019",

month = sep,

day = "19",

doi = "10.1016/j.econlet.2019.108680",

language = "English",

volume = "185",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - The role of uncertainty measures on the returns of gold

AU - Gozgor, Giray

AU - Lau, Chi Keung Marco

AU - Sheng, Xin

AU - Yarovaya, Larisa

N1 - Funding Information: The authors would like to thank the participants to the Commodity Session in INFINITI Conference on International Finance 2019 in Glasgow for useful comments to enhance the merit of the paper. The usual disclaimer applies. Publisher Copyright: © 2019 Elsevier B.V. Copyright: Copyright 2019 Elsevier B.V., All rights reserved.

PY - 2019/9/19

Y1 - 2019/9/19

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.

UR - http://www.scopus.com/inward/record.url?scp=85072845929&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2019.108680

DO - 10.1016/j.econlet.2019.108680

M3 - Article

AN - SCOPUS:85072845929

SN - 0165-1765

VL - 185

JO - Economics Letters

JF - Economics Letters

M1 - 108680

ER -

The role of uncertainty measures on the returns of gold

Abstract

Bibliographical note

Access to Document

Other files and links

Fingerprint

Cite this