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The role of uncertainty measures on the returns of gold

Author

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  • Gozgor, Giray
  • Lau, Chi Keung Marco
  • Sheng, Xin
  • Yarovaya, Larisa

Abstract

By utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are consistent across different frequency bands in short, medium, and long terms.

Suggested Citation

  • Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin & Yarovaya, Larisa, 2019. "The role of uncertainty measures on the returns of gold," Economics Letters, Elsevier, vol. 185(C).
    • Handle: RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303398
    DOI: 10.1016/j.econlet.2019.108680
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    More about this item

    Keywords

    Gold market; Economic policy uncertainty; Geopolitical risks; Oil price volatility; The real value of the USD;
    All these keywords.

    JEL classification:

    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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