Gold and the US dollar: Hedge or haven?

Mark Joy

Finance Research Letters, 2011, vol. 8, issue 3, 120-131

Abstract: Using a model of dynamic conditional correlations covering 23 years of weekly data for 16 major dollar-paired exchange rates, this paper addresses a practical investment question: Does gold act as a hedge against the US dollar, as a safe haven, or neither? Key findings are as follows. (i) During the past 23 years gold has behaved as a hedge against the US dollar. (ii) Gold has been a poor safe haven. (iii) In recent years gold has acted, increasingly, as an effective hedge against currency risk associated with the US dollar.

Keywords: Exchange; rates; Gold; Hedge; Dynamic; conditional; correlation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (150)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:8:y:2011:i:3:p:120-131

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