Is gold a hedge or safe haven against oil price movements?

Juan Reboredo

Resources Policy, 2013, vol. 38, issue 2, 130-137

Abstract: This paper assesses the role of gold as a hedge or safe haven against oil price movements. We use an approach based on copulas to analyse the dependence structure between these two markets. Empirical evidence for weekly data from January 2000 to September 2011 revealed the following: (a) there is positive and significant average dependence between gold and oil, which would indicate that gold cannot hedge against oil price movements; and (b) there is tail independence between the two markets, indicating that gold can act as an effective safe haven against extreme oil price movements. These results are useful for both portfolio risk managers and designers of policies aimed at using gold to preserve or stabilise oil exporter purchasing power.

Keywords: Gold; Oil; Hedge; Safe haven; Copulas (search for similar items in EconPapers)
JEL-codes: C46 C58 G1 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (205)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420713000093
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:38:y:2013:i:2:p:130-137

DOI: 10.1016/j.resourpol.2013.02.003

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().