File(s) not publicly available
The effects of uncertainty measures on the price of gold
journal contribution
posted on 2023-07-26, 14:57 authored by Mehmet H. Bilgin, Giray Gozgor, Marco C. K. Lau, Xin ShengThis 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.
History
Refereed
- Yes
Volume
58Page range
1-7Publication title
International Review of Financial AnalysisISSN
1057-5219External DOI
Publisher
ElsevierLanguage
- other
Official URL
Legacy posted date
2020-04-06Legacy Faculty/School/Department
ARCHIVED Lord Ashcroft International Business School (until September 2018)Usage metrics
Categories
No categories selectedLicence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC