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Can precious metals hedge the risks of Sino–US political relation?–Evidence from Toda–Yamamoto causality test in quantiles

Author

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  • Cai, Yifei
  • Chang, Hao-Wen
  • Xiang, Feiyun
  • Chang, Tsangyao

Abstract

By using a novel Granger causality test in quantiles, this study first confirms the hedging role of precious metals (i.e., gold, platinum and silver) to Sino-US political relation risks. The causality is found to be quantile-varied. Important policy implications are provided to investors, arbitrageurs, and funding managers.

Suggested Citation

  • Cai, Yifei & Chang, Hao-Wen & Xiang, Feiyun & Chang, Tsangyao, 2023. "Can precious metals hedge the risks of Sino–US political relation?–Evidence from Toda–Yamamoto causality test in quantiles," Finance Research Letters, Elsevier, vol. 58(PA).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006992
    DOI: 10.1016/j.frl.2023.104327
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    References listed on IDEAS

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    Cited by:

    1. Meng QIN, 2024. "The essential role of U.S.-China tensions: a fresh insight into the gold market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(641), W), pages 227-246, Winter.
    2. Cai, Yifei & Zhang, Yahua & Wu, Yanrui & Chang, Tsangyao, 2024. "Airline stock market performance and political relations: A cross-quantilogram analysis of Chinese and US carriers," Transport Policy, Elsevier, vol. 155(C), pages 124-149.

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D74 - Microeconomics - - Analysis of Collective Decision-Making - - - Conflict; Conflict Resolution; Alliances; Revolutions

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