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Do precious and industrial metals act as hedges and safe havens for currency portfolios?

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  • Sakemoto, Ryuta

Abstract

This study explores whether metals act as hedges and safe havens for currency investing portfolios. Three widely used currency investment strategies: carry, momentum and value are adopted. The empirical results argue that gold and silver do exhibit hedge and safe haven properties for all three strategies. Silver works as a strong hedge during extreme market conditions. However, these hedge and safe haven properties became weaker after the year 2000. We also find that industrial metals do not work as either hedges or safe havens for carry portfolios.

Suggested Citation

  • Sakemoto, Ryuta, 2018. "Do precious and industrial metals act as hedges and safe havens for currency portfolios?," Finance Research Letters, Elsevier, vol. 24(C), pages 256-262.
    • Handle: RePEc:eee:finlet:v:24:y:2018:i:c:p:256-262
    DOI: 10.1016/j.frl.2017.09.011
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    References listed on IDEAS

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    More about this item

    Keywords

    Metals; Currency; Carry trade; Hedge; Safe haven;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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