Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
复制标题
DOI：
10.1016/j.irfa.2012.12.001
复制
发表时间：
2013-09-01
影响因子：
8.2
通讯作者：
Lucey, Brian M.
中科院分区：
文献类型：
--
作者：
Ciner, Cetin;Gurdgiev, Constantin;Lucey, Brian M.
在本文中，我们使用美国和英国的数据研究主要资产类别之间的回报关系。我们的第一个目标是检查条件相关性的时间变化，以确定这些变量何时起到相互对冲的作用。其次，我们通过使用分位数回归提供证据，证明资产类别之间的依赖性在极端价格变动期间是否有所不同。该分析提供了证据，证明这些资产类别是否可以被视为彼此的避风港。我们研究的一个值得注意的发现是，黄金可以被视为针对两国汇率的避风港，凸显了其货币资产的作用。 (C) 2012 Elsevier Inc. 保留所有权利。
In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on whether the dependencies between the asset classes differ during extreme price movements by using quantile regressions. This analysis provides evidence on whether these asset classes can be considered as safe havens for each other. A noteworthy finding of our study is that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role. (C) 2012 Elsevier Inc. All rights reserved.