Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates

Cetin Ciner, Constantin Gurdgiev and Brian Lucey

International Review of Financial Analysis, 2013, vol. 29, issue C, 202-211

Abstract: In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on whether the dependencies between the asset classes differ during extreme price movements by using quantile regressions. This analysis provides evidence on whether these asset classes can be considered as safe havens for each other. A noteworthy finding of our study is that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.

Keywords: Safe havens; Quantile regressions gold; Oil (search for similar items in EconPapers)
JEL-codes: C52 G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (413)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:29:y:2013:i:c:p:202-211

DOI: 10.1016/j.irfa.2012.12.001

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