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Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

Resources Policy, 2016, vol. 49, issue C, 74-80

Abstract: Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this research by using a novel nonparametric causality-in-quantiles test to study how measures of policy and equity-market uncertainty affect gold-price returns and volatility. For daily and monthly data, we find evidence of causality running from various uncertainty measures to both gold returns and volatility. For quarterly data, evidence of causality weakens and is significant only for some uncertainty measures and only for gold volatility.

Keywords: Gold returns; Gold volatility; Causality; Nonparametric quantile regression; Uncertainty (search for similar items in EconPapers)
JEL-codes: C32 C53 E60 Q02 (search for similar items in EconPapers)
Date: 2016
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Working Paper: Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test (2015)
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DOI: 10.1016/j.resourpol.2016.04.004

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