The role of uncertainty measures on the returns of gold

Giray Gözgör, Chi Keung Lau, Xin Sheng and Larisa Yarovaya

Economics Letters, 2019, vol. 185, issue C

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.

Keywords: Gold market; Economic policy uncertainty; Geopolitical risks; Oil price volatility; The real value of the USD (search for similar items in EconPapers)
JEL-codes: C53 D81 Q47 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176519303398
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303398

DOI: 10.1016/j.econlet.2019.108680

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().