Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions

Elie Bouri (), Rangan Gupta, Jacobus Nel () and Sisa Shiba ()
Additional contact information
Elie Bouri: Adnan Kassar School of Business, Lebanese American University, Beirut, Lebanon
Jacobus Nel: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Sisa Shiba: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa

No 202233, Working Papers from University of Pretoria, Department of Economics

Abstract: Using annual data on real gold returns and the probability of fatality due to contagious diseases over the period of 1258 to 2020, we detect nonlinearity and regime changes in the relationship between the two variables of concern, over and above the existence of non-normality in the data. In light of these issues, we rely on a quantile regression model to show that real gold returns can hedge against risks associated with such rare disasters, but primarily when the market is in its bullish-state, with it being negatively impacted in its bearish-phase. Understandably, our results have important implications for investors seeking refuge in the safe haven of gold during rare disaster events.

Keywords: Real gold returns; Contagious Diseases; Probability of fatality; Quantile regression (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2022-06
References: Add references at CitEc
Citations: View citations in EconPapers (8)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Contagious diseases and gold: Over 700 years of evidence from quantile regressions (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202233

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().