Contagious diseases and gold: Over 700 years of evidence from quantile regressions

Elie Bouri, Rangan Gupta, Jacobus Nel and Sisa Shiba

Finance Research Letters, 2022, vol. 50, issue C

Abstract: We investigate the effect of the probability of fatality due to contagious diseases on real gold returns over the period 1258–2020 using a predictive quantile regression model, which is justified by the features of non-normality, nonlinearity, and structural breaks in the dataset involving real gold returns and the probability of fatality. We show that real gold returns hedge the probability of fatality due to contagious diseases primarily when the gold market is bullish. However, the hedging ability is insignificant when the gold market is bearish. These results are important for investors seeking refuge in gold during rare disaster events.

Keywords: Real gold returns; contagious diseases; COVID-19 outbreak; probability of fatality; predictive quantile regression model (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Working Paper: Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004573

DOI: 10.1016/j.frl.2022.103266

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