The effects of uncertainty measures on the price of gold

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BİLGİN M. H. , GÖZGÖR G. , Lau C. K. M. , Sheng X.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, cilt.58, ss.1-7, 2018 (SSCI İndekslerine Giren Dergi) identifier

  • Cilt numarası: 58
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1016/j.irfa.2018.03.009
  • Dergi Adı: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
  • Sayfa Sayıları: ss.1-7

Özet

This paper analyzes the determinants of the price of gold with a special focus on four uncertainty measures (namely, the volatility (VIX), skewness (SKEW), global economic policy uncertainty (EPU), and partisan conflict (PC) indexes). The nonlinear Autoregressive-distributed Lag (ARDL) model is used to investigate the asymmetric effect of uncertainty measures on gold prices. The results show that rising economic policy uncertainty contributes to increases in the price of gold. By contrast, gold prices are less likely to fall when economic policy conditions are improved.