 Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theoryQuynh Nga Nguyen, Rihab Bedoui, Najemeddine Majdoub, Khaled Guesmi and Julien Chevallier Resources Policy, 2020, vol. 68, issue C Abstract: The copula concept presents a powerful and flexible tool for studying and modeling multivariate distribution. The most popular copulas are the Archimedean and elliptical copula used to analyze the dependence distribution. In this article, we assess the capacity of Gold to be a hedge or a safe-haven against the depreciation value of USD, EUR, and JPY on average and during extreme movement using the copula theory. We then examine the dependence structure between Gold and exchange rates during the sub-prime crisis and the dramatic increase in the USD value. Empirical results suggest that Gold is an effective and robust hedge against the depreciation value of the currencies. A noteworthy finding, we find that Gold is a stabilizing asset with substantial safe-haven property in turmoil and high uncertainty periods. Keywords: Copula; Gold; Effective exchange rates; Safe-haven; Hedging (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719304921 DOI: 10.1016/j.resourpol.2020.101766 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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