In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework

Sławomir Śmiech () and Monika Papież ()

Finance Research Letters, 2017, vol. 20, issue C, 238-244

Abstract: The aim of the paper is to investigate the role of gold and crude oil as hedges and safe havens for the stock and currency markets. We generalize Baur and Lucey's (2010) original idea by allowing for the nonstationarity of the returns. First, we look for structural changes in long term volatility of returns in order to identify flights to safety moments. Next, we analyse the relations between variables of interest using the rolling regression framework. Our study reveals that only some relations are stable, and only gold is a weak hedge for equity.

Keywords: Hedge; Safe haven; Commodity; Stock market; Rolling regression; Breaks in volatility (search for similar items in EconPapers)
JEL-codes: C58 G11 G14 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:238-244

DOI: 10.1016/j.frl.2016.10.006

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