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Gold and the US dollar: Hedge or haven?

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  • Mark, Joy

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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  • Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
    • Handle: RePEc:eee:finlet:v:8:y:2011:i:3:p:120-131
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