 Oil-gold nexus: Evidence from regime switching-quantile regression approachManel Youssef and Khaled Mokni () Resources Policy, 2021, vol. 73, issue C Abstract: Previous Studies Examining The Oil-Gold Nexus Do Not Account For The Oil And Gold Markets Conditions Jointly. This Study Examines The Oil-Gold Price Relationship By Considering The Switching-Regime In Oil Price Shocks And The Gold Market Conditions. The Different Sources Of Oil Shocks (Supply, Demand, And Risk Shocks) Are Identified Based On The Recent Procedure Of Ready (2018), While The Effect Of Oil Price Shocks Is Investigated Based On A New Approach That Combines The Regime-Switching And Quantile-Regression Models. Results Suggest That The Response Of Gold Returns To Oil Price Changes Depends On The Forces-Driven Oil Shocks And The Gold Market Conditions. Moreover, Gold Price Responds More Intensively To Demand Shocks Rather Than Supply And Risk Shocks. We Also Confirm That The Gold Price Reaction To Oil Shocks Changes In Sign, Magnitude, And Significance According To Oil Price Shocks Regimes And Gold's Conditional Distribution. These Findings Have Important Implications For Investors Regarding The Hedging And Safe-Haven Role Of Gold Against Oil Shocks. Keywords: Oil shocks; Gold price; Regime-switching; Quantile regressions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002270 DOI: 10.1016/j.resourpol.2021.102215 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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