The role of uncertainty measures on the returns of gold
journal contributionposted on 2023-08-30, 16:36 authored by Giray Gozgor, Marco C. K. Lau, Xin Sheng, Larisa Yarovaya
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.
Publication titleEconomics Letters
- Accepted version