Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample
Nicholas Apergis (napergis@unipi.gr) and
Sofia Eleftheriou
Economic Modelling, 2016, vol. 57, issue C, 164-170
Abstract:
This paper investigates the link between business cycle asymmetries and gold price dynamics across an international country sample. The empirical effort employs oil, consumer prices and a set of macroeconomic data from the G7 economies, as well as the major international gold producers, spanning the period 1980 to 2015. Using an asymmetric business cycle model, the empirical findings document that business cycles asymmetrically affect gold returns, while these returns respond stronger during the recessionary than booming phases of the cycle.
Keywords: Gold returns; Asymmetric business cycles; International country sample (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:57:y:2016:i:c:p:164-170
DOI: 10.1016/j.econmod.2016.04.020
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