Measuring the response of gold prices to uncertainty: An analysis beyond the mean
Measuring the response of gold prices to uncertainty: An analysis beyond the mean
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DOI：
10.1016/j.econmod.2018.06.010
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发表时间：
2018-11-01
影响因子：
4.7
通讯作者：
Wohar, Mark E.
中科院分区：
文献类型：
--
作者：
Bouoiyour, Jamal;Selmi, Refk;Wohar, Mark E.
本文提供了一个创新的角度来看待黄金作为对冲和避风港的作用。我们使用分位数对分位数回归方法来捕捉不同黄金市场条件下黄金收益率与不确定性变化之间的依赖结构，同时考虑不确定性水平的细微差别。为了捕捉核心不确定性对黄金收益率的影响，我们使用了一个动态因子模型。这种方法可以在一个不确定性的总体衡量中总结六个不同指数（即经济、宏观经济、微观经济、货币政策、金融和政治不确定性）的影响。通过这样做，我们表明，黄金作为对冲和避风港的作用不能被认为在任何时候都能保持。这种能力似乎对黄金的各种市场状态（看跌，正常或看涨）以及不确定性是低，中还是高都很敏感。有趣的是，当不确定性达到最高水平时，在正常的黄金市场情景下，我们发现黄金收益率与不确定性综合指标之间存在积极而强烈的关系。这表明，持有由黄金组成的多元化投资组合有助于防范不确定风险。
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under different gold market conditions, while considering the nuances of uncertainty levels. To capture the core uncertainty effects on gold returns, a dynamic factor model is used. This technique allows summarizing the impact of six different indexes (namely economic, macroeconomic, microeconomic, monetary policy, financial and political uncertainties) within one aggregate measure of uncertainty. In doing so, we show that the gold's role as a hedge and safe haven cannot be assumed to hold at all times. This ability seems to be sensitive to the gold's various market states (bearish, normal or bullish) and to whether the uncertainty is low, middle or high. Interestingly, we find a positive and strong relationship between gold returns and the uncertainty composite indicator when the uncertainty attains its highest level and under normal gold market scenario. This suggests that holding a diversified portfolio composed of gold could help protecting against exposure to uncertain risks.