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Gold and the U.S. Dollar: Tales from the Turmoil

Massimiliano Marzo () and Paolo Zagaglia

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia (2008) to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of Cappiello, Gerard and Manganelli (2005). We document the ability of gold to generate stable comovements with the Dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. Dollar.

Keywords: gold; exchange rates; GARCH; quantile regressions (search for similar items in EconPapers)
JEL-codes: C22 F31 F33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-ifn
Date: 2010-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

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Related works:
Journal Article: Gold and the U.S. dollar: tales from the turmoil (2013) Downloads
Working Paper: Gold and the U.S. Dollar: Tales from the turmoil (2010) Downloads
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