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Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS

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  • Liu, Min
  • Lee, Chien-Chiang

Abstract

We aim at facilitating risk management in the oil market by identifying the long-run gold-oil dynamic correlation using the DCC-MIDAS approach. We regard economic uncertainty and dollar realized volatility as the low-frequency driving forces of the correlation movement. The findings are in favor of gold as a diversifier rather than a hedge for oil as the gold-oil long-run correlation on average is positive and not perfectly correlated. However, the negative gold-oil correlation observed after 2020 may cast new light in the field of study. We support that gold is a safe haven for oil market participants under economic uncertainty in the long run. We also suggest the oil market participants better reduce their gold holdings under the threat of dollar fluctuation.

Suggested Citation

  • Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722001519
    DOI: 10.1016/j.resourpol.2022.102703
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