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.
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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.
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