The effects of uncertainty measures on the price of gold

Bilgin, Mehmet H. and Gozgor, Giray and Lau, Marco C. K. and Sheng, Xin (2018) The effects of uncertainty measures on the price of gold. International Review of Financial Analysis, 58. pp. 1-7. ISSN 1057-5219

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Official URL: https://doi.org/10.1016/j.irfa.2018.03.009

Abstract

This paper analyzes the determinants of the price of gold with a special focus on four uncertainty measures (namely, the volatility (VIX), skewness (SKEW), global economic policy uncertainty (EPU), and partisan conflict (PC) indexes). The nonlinear Autoregressive-distributed Lag (ARDL) model is used to investigate the asymmetric effect of uncertainty measures on gold prices. The results show that rising economic policy uncertainty contributes to increases in the price of gold. By contrast, gold prices are less likely to fall when economic policy conditions are improved.

Item Type: Journal Article
Keywords: Price of gold, Economic policy uncertainty, VIX, Partisan conflict, Price of oil, Real exchange rate
Faculty: ARCHIVED Lord Ashcroft International Business School (until September 2018)
Depositing User: Lisa Blanshard
Date Deposited: 06 Apr 2020 15:47
Last Modified: 06 Apr 2020 15:48
URI: http://arro.anglia.ac.uk/id/eprint/705393

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