IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v50y2018i4p354-370.html
   My bibliography  Save this article

Is the relationship between gold and the U.S. dollar always negative? The role of macroeconomic uncertainty

Author

Listed:
  • Yimin Zhou
  • Liyan Han
  • Libo Yin

Abstract

The main work of this article is to access the role of macroeconomic uncertainty in effecting the correlation between gold and the dollar. The empirical analysis is divided into two parts. Firstly, we examine the impact of macroeconomic uncertainty on short and long correlation between gold and the dollar. Secondly, we analyse the explanatory power of economic uncertainty for the abnormal market relation between gold and the dollar with a threshold model. In particular, we investigate impacts of economic uncertainty sourced from different economies. The empirical results indicate that economic uncertainty generates direct impacts on the correlation between gold and the dollar. Moreover, our results emphasize that uncertainty sourced from different economies have different impacts on the dynamics between gold and the dollar. This article also presents the relative contribution of gold and the dollar shocks to the likelihood of being in the high-uncertainty regime. These results have implications for risk management, international asset allocation and hedging strategies.

Suggested Citation

  • Yimin Zhou & Liyan Han & Libo Yin, 2018. "Is the relationship between gold and the U.S. dollar always negative? The role of macroeconomic uncertainty," Applied Economics, Taylor & Francis Journals, vol. 50(4), pages 354-370, January.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:4:p:354-370
    DOI: 10.1080/00036846.2017.1313956
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2017.1313956
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2017.1313956?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.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dinh, Theu & Goutte, Stéphane & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Economic drivers of volatility and correlation in precious metal markets," Journal of Commodity Markets, Elsevier, vol. 28(C).
    2. Qin, Meng & Su, Chi-Wei & Tao, Ran & Umar, Muhammad, 2020. "Is factionalism a push for gold price?," Resources Policy, Elsevier, vol. 67(C).
    3. Chi-Wei Su & Xu-Yu Cai & Ran Tao, 2020. "Can Stock Investor Sentiment Be Contagious in China?," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
    4. Huang, Jianbai & Dong, Xuesong & Chen, Jinyu & Zhong, Meirui, 2022. "Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 433-445.

    More about this item

    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:taf:applec:v:50:y:2018:i:4:p:354-370. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    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.