The role of uncertainty measures on the returns of gold

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

Research output: Contribution to journalArticlepeer-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 languageEnglish
Article number108680
JournalEconomics Letters
Volume185
DOIs
Publication statusPublished - 19 Sep 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.

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