The place of gold in the cross-market dependencies

Sofiane Aboura, Julien Chevallier, Jammazi Rania and Aviral Tiwari
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Jammazi Rania: IPAG business School, France and University of Management Sciences and Economics of Sousse, Erriadh City, Tunisia

Studies in Nonlinear Dynamics & Econometrics, 2016, vol. 20, issue 5, 567-586

Abstract: This paper investigates the inter-relationships between the gold price on the one hand, other precious metals (e.g. silver, palladium, platinum) and asset markets (e.g. stocks, bonds, crude oil) on the other hand. The econometric methodology relies on the Markov-switching BEKK model by Haas and Mittnik (2008) that captures time-varying correlations and bull-bear regimes for bivariate specifications. The model is applied to daily data from 1988 to 2013. The main results indicate that gold’s influence, through return and/or volatility spillovers, seems almost intact whatever the economic regime. Robustness checks of the statement that gold occupies a special place among commodities are provided under the form of a multi-asset portfolio management exercise.

Keywords: BEKK; commodities; financial markets; gold; markov-switching; multi-asset portfolio management (search for similar items in EconPapers)
JEL-codes: C34 C58 E44 G15 L61 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/snde-2015-0017

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