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The role of uncertainty measures on the returns of gold
journal contribution
posted on 2023-08-30, 16:36 authored by Giray Gozgor, Marco C. K. Lau, Xin Sheng, Larisa YarovayaBy 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.
History
Refereed
- Yes
Volume
185Page range
108680Publication title
Economics LettersISSN
0165-1765External DOI
Publisher
ElsevierFile version
- Accepted version
Language
- eng
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Legacy posted date
2019-09-26Legacy creation date
2019-09-26Legacy Faculty/School/Department
Faculty of Business & LawUsage metrics
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