Can gold hedge and preserve value when the US dollar depreciates?

Juan Reboredo and Miguel A. Rivera-Castro

Economic Modelling, 2014, vol. 39, issue C, 168-173

Abstract: This paper examines gold's hedging and value-preserving properties against fluctuations in the US dollar. We propose a likelihood ratio test that draws a distinction between hedging and safe-haven characteristics on the basis of the conditional dependence structure under different market conditions. Our evidence, based on an analysis of data for US dollar exchange rates with a broad set of currencies, indicates that gold can serve as a hedge against US dollar depreciation but is a weak safe haven against extreme US dollar movements. These results have implications for risk management and hedging strategies.

Keywords: Gold; Exchange rates; Hedge; Safe haven (search for similar items in EconPapers)
JEL-codes: C52 C58 F3 G1 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:39:y:2014:i:c:p:168-173

DOI: 10.1016/j.econmod.2014.02.038

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