The effects of uncertainty measures on the price of gold

Mehmet Bilgin, Giray Gözgör, Chi Keung Lau and Xin Sheng

International Review of Financial Analysis, 2018, vol. 58, issue C, 1-7

Abstract: This paper analyzes the determinants of the price of gold with a special focus on four uncertainty measures (namely, the volatility (VIX), skewness (SKEW), global economic policy uncertainty (EPU), and partisan conflict (PC) indexes). The nonlinear Autoregressive-distributed Lag (ARDL) model is used to investigate the asymmetric effect of uncertainty measures on gold prices. The results show that rising economic policy uncertainty contributes to increases in the price of gold. By contrast, gold prices are less likely to fall when economic policy conditions are improved.

Keywords: Price of gold; Economic policy uncertainty; VIX; Partisan conflict; Price of oil; Real exchange rate (search for similar items in EconPapers)
JEL-codes: C32 D81 F31 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (95)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521918301194
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:finana:v:58:y:2018:i:c:p:1-7

DOI: 10.1016/j.irfa.2018.03.009

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().