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The Dollar and Gold: Which is the Safest Haven? COVID-19 Evidence

Author

Listed:
  • Bousbia Salah Rahima
  • Beggat Hanane
  • Debbar Abdelkerim

    (University of ElOued, ElOued, Algeria)

Abstract

This paper examines the dynamic correlation between the US dollar and gold prices during the coronavirus pandemic to determine which of the two assets is a safer haven from an investor’s perspective. The research utilises methods of analysis and synthesis of theoretical knowledge from published articles, literature, and official statistics websites. Data covering the period from January 1, 2020 to May 26, 2021, were primarily collected from the latest versions of these websites. The study includes a quantitative analysis of variables, including the Johansen cointegration test, the Granger causality test, and the error correction model. Our empirical analysis reveals a long-term equilibrium relationship between the US dollar and gold price. There is a oneway inverse causality relationship between the dollar and gold price. The results indicate that gold can be considered the safest haven from the investors’ perspective.

Suggested Citation

  • Bousbia Salah Rahima & Beggat Hanane & Debbar Abdelkerim, 2023. "The Dollar and Gold: Which is the Safest Haven? COVID-19 Evidence," Economics and Business, Sciendo, vol. 37(1), pages 104-118, January.
    • Handle: RePEc:vrs:ecobus:v:37:y:2023:i:1:p:104-118:n:2
    DOI: 10.2478/eb-2023-0007
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    References listed on IDEAS

    as
    1. Elie, Bouri & Naji, Jalkh & Dutta, Anupam & Uddin, Gazi Salah, 2019. "Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach," Energy, Elsevier, vol. 178(C), pages 544-553.
    2. Régis Bourbonnais, 2015. "Économétrie : cours et exercices corrigés," Post-Print hal-01491694, HAL.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Dollar exchange rate; economic crisis; financial crisis; gold price; hedge; safe haven;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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