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The effects of uncertainty measures on the price of gold

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  • Bilgin, Mehmet Huseyin
  • Gozgor, Giray
  • Lau, Chi Keung Marco
  • Sheng, Xin

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.

Suggested Citation

  • Bilgin, Mehmet Huseyin & Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin, 2018. "The effects of uncertainty measures on the price of gold," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 1-7.
    • Handle: RePEc:eee:finana:v:58:y:2018:i:c:p:1-7
    DOI: 10.1016/j.irfa.2018.03.009
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    More about this item

    Keywords

    Price of gold; Economic policy uncertainty; VIX; Partisan conflict; Price of oil; Real exchange rate;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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