Is gold a safe haven for exchange rate risks? An empirical study of major currency countries
Kuan Min Wang and
Yuan-Ming Lee
Journal of Multinational Financial Management, 2022, vol. 63, issue C
Abstract:
This study uses a TVP-VAR model to test whether gold is a safe haven for exchange rate risks. The five major world currencies are examined: the Chinese renminbi, euro, British pound, Japanese yen, and U.S. dollar. The empirical results show that (1) gold cannot hedge currency depreciation in the long run; (2) gold can hedge currency depreciation dynamic risk in the short run; (3) gold can act as a safe haven to hedge dynamic risk for the euro, dollar, and pound in the short run, but not for the renminbi and yen; and (4) the yen tends to appreciate significantly when international risks escalate, thus, it can be regarded as a safe haven currency.
Keywords: Gold price; Exchange rate risks; Safe haven; TVP-VAR model; Impulse response (search for similar items in EconPapers)
JEL-codes: C22 E44 G15 G40 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (10)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:63:y:2022:i:c:s1042444x21000293
DOI: 10.1016/j.mulfin.2021.100705
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