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

Author

Listed:
  • 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)

  • Luis A. Gil-Alana

    (University of Navarra, School of Economics, Edificio Amigos, E-31080 Pamplona, Spain.)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

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.

Suggested Citation

  • Heni Boubaker & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2019. "Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data," Working Papers 201941, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201941
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    as
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    More about this item

    Keywords

    Global Crises; Gold; Safe Haven; Regime-Switching Model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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