posted on 2023-08-30, 16:36authored byGiray 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.