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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

No 201592, Working Papers from University of Pretoria, Department of Economics

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.

Keywords: Gold returns; Gold volatility; Causality; Uncertainty (search for similar items in EconPapers)
JEL-codes: C32 C53 E60 Q02 (search for similar items in EconPapers)
Pages: 12pages
Date: 2015-12
New Economics Papers: this item is included in nep-mac
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