Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test

被引：209

作者：

Balcilar, Mehmet ^{[1
,2
,4
]}

Gupta, Rangan ^{[2
]}

Pierdzioch, Christian ^{[3
]}

机构：

[1] Eastern Mediterranean Univ, Dept Econ, Via Mersin 10, Famagusta, Northern Cyprus, Turkey

[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[3] Helmut Schmidt Univ, Dept Econ, Holstenhofweg 85,POB 700822, D-22008 Hamburg, Germany

[4] IPAG Business Sch, Paris, France

来源：

RESOURCES POLICY | 2016年 / 49卷

关键词：

Gold returns; Gold volatility; Causality; Nonparametric quantile regression; Uncertainty; ECONOMIC-POLICY UNCERTAINTY; SAFE HAVEN; HEDGE; OIL; RETURNS; US;

D O I：

10.1016/j.resourpol.2016.04.004

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this research by using a novel nonparametric causality-in-quantiles test to study how measures of policy and equity-market uncertainty affect gold-price returns and volatility. For daily and monthly data, we find evidence of causality running from various uncertainty measures to both gold returns and volatility. For quarterly data, evidence of causality weakens and is significant only for some uncertainty measures and only for gold volatility. (C) 2016 Elsevier Ltd. All rights reserved.

引用

页码：74 / 80

页数：7

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