Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data

Heni Boubaker (), Juncal Cunado (), Luis Gil-Alana and Rangan Gupta
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Heni Boubaker: IPAG LAB, IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France
Juncal Cunado: University of Navarra, School of Economics, Edificio Amigos, E-31080 Pamplona, Spain

No 201941, Working Papers from University of Pretoria, Department of Economics

Abstract: Using annual data spanning the period of 1258-2018, we test the safe haven characteristic of gold in the wake of global crises. We find that, when we allow for regime-switching to capture nonlinearity and structural breaks, gold serves as a strong hedge against crises, especially during the bullish regime of the market, and in particular from the post-World War I period, as suggested by a time-varying model. In comparison, silver, however, does not seem to possess the safe haven property over the historical period of 1688-2018. Finally, we also find that global crises can accurately predict real gold returns over a long-span (1302-2018) out-of-sample period.

Keywords: Global Crises; Gold; Safe Haven; Regime-Switching Model (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2019-05
New Economics Papers: this item is included in nep-his
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Citations: View citations in EconPapers (2)

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Journal Article: Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data (2020)
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