Is gold a safe haven or a hedge for the US dollar? Implications for risk management

Journal of Banking and Finance

Volumn 37, Issue 8, 2013, Pages 2665-2676

  Reboredo, Juan C ^a  

^a UNIVERSITY OF SANTIAGO DE COMPOSTELA   (Spain)

Author keywords

Copulas; Exchange rates; Gold; Hedge; Safe haven

Indexed keywords

EID: 84878637130     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.03.020     Document Type: Article

References (56)

1. Baur D.G., Lucey B.M. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review 2010, 45:217-229.
2. Baur D.G., McDermott T.K. Is gold a safe haven? International evidence. Journal of Banking and Finance 2010, 34:1886-1898.
3. Beckers S., Soenen L. Gold: more attractive to non-US than to US investors?. Journal of Business Finance and Accounting 1984, 11:107-112.
4. Blose L.E. Gold prices, cost of carry, and expected inflation. Journal of Economics and Business 2010, 62(1):35-47.
5. Bowden N., Payne J.E. Short term forecasting of electricity prices for MISO hubs: evidence from ARIMA-EGARCH models. Energy Economics 2008, 30:3186-3197.
6. Breymann W., Dias A., Embrechts P. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 2001, 3:1-16.
7. Capie F., Mills T.C., Wood G. Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money 2005, 15:343-352.
8. Cherubini U., Luciano E., Vecchiato W. Copula Methods in Finance 2004, John Willey & Sons, Chichester, UK.
9. Christoffersen P. Evaluating interval forecasts. International Economic Review 1998, 39:841-862.
10. Chua J., Woodward R.S. Gold as an inflation hedge: A comparative study of six major industrial countries. Journal of Business Finance & Accounting 1982, 9(2):191-197.
11. Ciner, C., Gurdgiev, C., Lucey, B.M., 2012. Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates <>. http://dx.doi.org/10.2139/ssrn.1679243.
12. Deheuvels P. Caractérisation compléte des lois extrêmes multivariêes et de la convergence des types extrêmes. Publications de I'Institut de Statistique de I'Université de Paris 1978, 23:1-36.
13. DeMiguel V., Garlappi L., Uppal R. Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy?. Review of Financial Studies 2009, 22(5):1915-1953.
14. Diebold F.X., Gunther T.A., Tay A.S. Evaluating density forecasts with applications to financial risk management. International Economic Review 1998, 39(4):863-883.
15. Ding Z., Granger C.W.J., Engle R.F. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1993, 1:83-106.
16. Embrechts P., Lindskog F., McNeil A. Modelling dependence with copulas and applications to risk management. Handbook of Heavy Tailed Distributions in Finance 2003, Elsevier, The Netherlands. S. Rachev (Ed.).
17. Genest C., Rémillard B., Beaudoin D. Goodness-of-fit tests for copulas: a review and a power study. Insurance: Mathematics and Economics 2009, 44(2):199-213.
18. Ghosh D., Levin E.J., Macmillan P., Wright R.E. Gold as an inflation hedge?. Studies in Economics and Finance 2004, 22:1-25.
19. Glosten L.R., Jaganathan R., Runkle D. On the relation between the expected value and the volatility of the normal excess return on stocks. Journal of Finance 1993, 48:1779-1801.
20. Hentschel L. All in the family. Nesting symmetric GARCH models. Journal of Financial Economics 1995, 39(1):71-104.
21. Hull JC. Fundamentals of Futures and Options Markets 2011, Prentice Hall. seventh ed.
22. Jaffe J.F. Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal 1989, 45:53-59.
23. Joe H. Multivariate models and dependence concepts. Monographs in Statistics and Probability 1997, vol. 73. Chapman and Hall, London.
24. Joe, H., Xu, J.J., 1996. The Estimation Method of Inference Functions for Margins for Multivariate Models. Technical Report No. 166. Department of Statistics, University of British Columbia.
25. Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk 2007, McGraw Hill, New York. third ed.
26. Joy M. Gold and the US dollar, hedge or haven?. Finance Research Letters 2011, 8:120-131.
27. Kaul A., Sapp S. Y2k fears and safe haven trading of the US dollar. Journal of International Money and Finance 2006, 25(5):760-779.
28. Kim M.H., Dilts D.A. The relationship of the value of the dollar, and the prices of gold and oil: a tale of asset risk. Economics Bulletin 2011, 31(2):1151-1162.
29. Kroner K.F., Ng V.K. Modeling asymmetric movements of asset prices. Review of Financial Studies 1998, 11:844-871.
30. Malliaris A.G., Malliaris M. Are oil, gold and the euro inter-related? Time series and neural network analysis. Review of Quantitative Finance and Accounting 2013, 40(1):1-14.
31. McCown, J.R., Zimmerman, J.R., 2006. Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals. Working Paper. SSRN <>. http://http//ssrn.com/abstract=920496.
32. McKenzie M., Mitchell H. Generalised asymmetric power ARCH modeling of exchange rate volatility. Applied Financial Economics 2002, 12(8):555-564.
33. Miyazaki T., Toyoshima Y., Hamori S. Exploring the dynamic interdependence between gold and other financial markets. Economics Bulletin 2012, 32(1):37-50.
34. Mohammadi H., Su L. International evidence on crude oil price dynamics, applications of ARIMA-GARCH models. Energy Economics 2010, 32(5):1001-1008.
35. Nelsen R.B. An Introduction to Copulas 2006, Springer-Verlag, New York.
36. O'Connor F.A., Lucey B.M. Gold's negative relationship with the US dollar. Alchemist 2012, 66:16.
37. Patton A.J. Modelling asymmetric exchange rate dependence. International Economic Review 2006, 47(2):527-556.
38. Pukthuanthong K., Roll R. Gold and the dollar (and the euro, pound, and yen). Journal of Banking and Finance 2011, 35:2070-2083.
39. Reboredo J.C. How do crude oil prices co-move? A copula approach. Energy Economics 2011, 33:948-955.
40. Reboredo J.C. Modelling oil price and exchange rate co-movements. Journal of Policy Modeling 2012, 34(3):419-440.
41. Reboredo J.C. Do food and oil prices co-move?. Energy Policy 2012, 49:456-467.
42. Reboredo J.C. Is gold a hedge or safe haven against oil price movements? Resources Policy 2013, 38(2):130-137.
43. Reboredo J.C. Modelling EU allowances and oil market interdependence. Implications for portfolio management. Energy Economics 2013, 36:471-480.
44. Reboredo J.C., Matías J.M., García-Rubio R. Nonlinearity in forecasting of high-frequency stock returns. Computational Economics 2012, 40(3):245-264.
45. Rodriguez J.C. Measuring financial contagion, a copula approach. Journal of Empirical Finance 2007, 14:401-423.
46. Sari R., Hammoudeh S., Soytas U. Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics 2010, 32:351-362.
47. Sarma M.S., Thomas S., Shah A. Selection of value-at-risk models. Journal of Forecasting 2003, 22:337-358.
48. Sjasstad L. The price of gold and the exchange rates: once again. Resources Policy 2008, 33(2):118-124.
49. Sjasstad L., Scacciavillani F. The price of gold and the exchange rate. Journal of International Money and Finance 1996, 15:879-897.
50. Sklar A. Fonctions de Riépartition á n Dimensions et Leurs Marges. Publications de l'Institut Statistique de l'Université de Paris 1959, 8:229-231.
51. Tully E., Lucey B.M. A power GARCH examination of the gold market. Research in International Business and Finance 2007, 21:316-325.
52. Wang Y.S., Chueh Y.L. Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices. Economic Modelling 2013, 30(1):792-798.
53. Wang K.M., Lee Y.M. The yen for gold. Resources Policy 2011, 36:39-48.
54. Wang K.M., Lee Y.M., Thi T.B.N. Time and place where gold acts as an inflation hedge: an application of long-run and short-run threshold model. Economic Modelling 2011, 28:806-819.
55. Worthington A.C., Pahlavani M. Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks. Applied Financial Economics Letters 2007, 3:259-262.
56. Zakoian J.M. Threshold heteroskedastic models. Journal of Economics Dynamics and Control 1994, 18:931-944.