The role of uncertainty measures on the returns of gold

Gozgor, Giray and Lau, Marco C. K. and Sheng, Xin and Yarovaya, Larisa (2019) The role of uncertainty measures on the returns of gold. Economics Letters, 185. p. 108680. ISSN 0165-1765

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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.

Item Type: Journal Article
Keywords: Gold market, Economic policy uncertainty, Geopolitical risks, Oil price volatility, The real value of the USD
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 26 Sep 2019 08:16
Last Modified: 09 Sep 2021 18:54

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