Gold bubbles: When are they most likely to occur?

Yanping Zhao, Hsu-Ling Chang, Chi-Wei Su and Rui Nian

Japan and the World Economy, 2015, vol. 34-35, 17-23

Abstract: We assess when gold bubbles are most likely to occur. This question is particularly important since the price of gold fluctuates rapidly during the financial crisis of 2007–2012. We use Phillips et al. (2012, 2013) tests to identify bubbles in the gold market since the breakdown of the Bretton Woods System. Five periods of bubbles are identified. We argue that the occurrence of gold bubbles is influenced by investors’ “flight to safety” during financial crises. If global central banks implement expansionary monetary policy to stimulate the economy, a gold bubble may arise.

Keywords: Gold bubbles; Financial crisis; Sup ADF test; Generalized sup ADF test; Right-sided unit root test (search for similar items in EconPapers)
JEL-codes: E3 G11 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:34-35:y:2015:i::p:17-23

DOI: 10.1016/j.japwor.2015.03.001

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