Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS

Min Liu and Chien-Chiang Lee ()

Resources Policy, 2022, vol. 76, issue C

Abstract: We aim at facilitating risk management in the oil market by identifying the long-run gold-oil dynamic correlation using the DCC-MIDAS approach. We regard economic uncertainty and dollar realized volatility as the low-frequency driving forces of the correlation movement. The findings are in favor of gold as a diversifier rather than a hedge for oil as the gold-oil long-run correlation on average is positive and not perfectly correlated. However, the negative gold-oil correlation observed after 2020 may cast new light in the field of study. We support that gold is a safe haven for oil market participants under economic uncertainty in the long run. We also suggest the oil market participants better reduce their gold holdings under the threat of dollar fluctuation.

Keywords: Gold; Oil; Dynamic correlation; DCC-MIDAS; Safe haven; Risk management (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722001519
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:jrpoli:v:76:y:2022:i:c:s0301420722001519

DOI: 10.1016/j.resourpol.2022.102703

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

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