The effects of uncertainty measures on the price of gold
Mehmet Bilgin (),
Giray Gözgör (),
Chi Keung Marco Lau and
International Review of Financial Analysis, 2018, vol. 58, issue C, 1-7
This paper analyzes the determinants of the price of gold with a special focus on four uncertainty measures (namely, the volatility (VIX), skewness (SKEW), global economic policy uncertainty (EPU), and partisan conflict (PC) indexes). The nonlinear Autoregressive-distributed Lag (ARDL) model is used to investigate the asymmetric effect of uncertainty measures on gold prices. The results show that rising economic policy uncertainty contributes to increases in the price of gold. By contrast, gold prices are less likely to fall when economic policy conditions are improved.
Keywords: Price of gold; Economic policy uncertainty; VIX; Partisan conflict; Price of oil; Real exchange rate (search for similar items in EconPapers)
JEL-codes: G15 D81 F31 C32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:58:y:2018:i:c:p:1-7
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