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Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks

Afees Salisu () and Idris Adediran ()

Resources Policy, 2020, vol. 66, issue C

Abstract: This paper attempts to offer a careful and robust analysis of the hedging potential of gold against oil shocks. This objective is achieved by using the new datasets for oil shocks constructed by Baumeister and Hamilton (2019) and employing alternative techniques for robustness. The various empirical analyses rendered in this study do not seem to favour the use of gold as a hedge against oil shocks regardless of the nature of oil shock and empirical technique used.

Keywords: Hedging; Gold; Oil shocks; Disaggregated data; Structural breaks; Threshold effects (search for similar items in EconPapers)
JEL-codes: E44 G11 G15 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309377

DOI: 10.1016/j.resourpol.2020.101606

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