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Time-varying linkages among gold, stocks, bonds and real estate

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  • Yunus, Nafeesa

Abstract

This study explores the time-varying linkages among gold, stocks (large-cap, mid-cap and small-cap), bonds (corporate, T-Bond and T-Bill), and real estate, in order to evaluate the hedging and safe haven properties of gold under differing market conditions. Long-run results indicate that gold is integrated with each asset class during the pre-crisis (1985–2007) period indicating that it does not serve as a hedge during tranquil regimes. Short-run analysis of the crisis only (2007–2009) period suggest that gold is minimally affected by shocks from key economic variables indicating that gold acts as a weak safe haven. However, the response of gold to shocks from key economic variables does not contradict the reaction of other variables to the same shocks indicating that gold does not serve as a strong safe haven during periods marked by high volatility.

Suggested Citation

  • Yunus, Nafeesa, 2020. "Time-varying linkages among gold, stocks, bonds and real estate," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 165-185.
  • Handle: RePEc:eee:quaeco:v:77:y:2020:i:c:p:165-185
    DOI: 10.1016/j.qref.2020.01.015
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    More about this item

    Keywords

    Financial econometrics; Cross-asset-market linkage; Hedge; Safe haven; Portfolio choice; Investment decisions; Gold; Stock market; Bond market; Real estate market;
    All these keywords.

    JEL classification:

    • 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
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G1 - Financial Economics - - General Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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