IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v58y2023ipcs1544612323009169.html
   My bibliography  Save this article

Does climate risk matter for gold price volatility?

Author

Listed:
  • Zhu, Jiaji
  • Han, Wei
  • Zhang, Junchao

Abstract

This study utilizes predictive modelling and STL decomposition to revisit the potential driving effect of climate risk on gold price volatility and observes the utility benefits of this risk. We find that gold price volatility is negatively correlated with physical risk (El Niño). Moreover, the parameter estimation results provide evidence for the heterogeneous influence of SOI on gold price volatility. Moreover, we find evidence for the presence of the physical risk of climate change on the prediction of gold price volatility, where the extended model incorporating the seasonal component of SOI has a better prediction.

Suggested Citation

  • Zhu, Jiaji & Han, Wei & Zhang, Junchao, 2023. "Does climate risk matter for gold price volatility?," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009169
    DOI: 10.1016/j.frl.2023.104544
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612323009169
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2023.104544?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    El Niño-southern oscillation; Climate change; Gold market; Volatility forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009169. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.