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Gold and the US dollar: Hedge or haven?

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  • Mark, Joy
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Abstract

Using a model of dynamic conditional correlations covering 23 years of weekly data for 16 major dollar-paired exchange rates, this paper addresses a practical investment question: Does gold act as a hedge against the US dollar, as a safe haven, or neither? Key findings are as follows. (i) During the past 23 years gold has behaved as a hedge against the US dollar. (ii) Gold has been a poor safe haven. (iii) In recent years gold has acted, increasingly, as an effective hedge against currency risk associated with the US dollar.

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Bibliographic Info

Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 8 (2011)
Issue (Month): 3 (September)
Pages: 120-131

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Handle: RePEc:eee:finlet:v:8:y:2011:i:3:p:120-131

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Web page: http://www.elsevier.com/locate/frl

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Keywords: Exchange rates Gold Hedge Dynamic conditional correlation;

References

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Cited by:
  1. Thi Hong Van Hoang, 2012. "Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity," Working Papers 12-05, Association Française de Cliométrie (AFC).

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