IDEAS home Printed from https://ideas.repec.org/p/pre/wpaper/201592.html
   My bibliography  Save this paper

Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test

Author

Listed:
  • Mehmet Balcilar

    () (Department of Economics, Eastern Mediterranean University, Turkey and Department of Economics, University of Pretoria, South Africa.)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria)

  • Christian Pierdzioch

    () (Department of Economics, Helmut Schmidt University, Germany)

Abstract

Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this research by using a novel nonparametric causality-in-quantiles test to study how measures of policy and equity-market uncertainty affect gold-price returns and volatility.

Suggested Citation

  • Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2015. "Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201592, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201592
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    2. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar, 2016. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Open Economies Review, Springer, vol. 27(2), pages 229-250, April.
    3. Reboredo, Juan C., 2013. "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2665-2676.
    4. Paolo Zagaglia & Massimiliano Marzo, 2013. "Gold and the U.S. dollar: tales from the turmoil," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 571-582, March.
    5. Jones, Paul M. & Olson, Eric, 2013. "The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model," Economics Letters, Elsevier, vol. 118(1), pages 33-37.
    6. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    7. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    8. Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012. "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, vol. 28(04), pages 861-887, August.
    9. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A quantile-boosting approach to forecasting gold returns," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 38-55.
    10. Colombo, Valentina, 2013. "Economic policy uncertainty in the US: Does it matter for the Euro area?," Economics Letters, Elsevier, vol. 121(1), pages 39-42.
    11. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.
    12. Barbara Rossi & Tatevik Sekhposyan, 2015. "Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions," American Economic Review, American Economic Association, vol. 105(5), pages 650-655, May.
    13. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
    14. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 305-318.
    15. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 131(4), pages 1593-1636.
    16. Barbara Rossi & Tatevik Sekhposyan, 2015. "Macroeconomic Uncertainty Indices for the Euro Area and Individual Member Countries," Working Papers 820, Barcelona Graduate School of Economics.
    17. Mehmet Balcilar & Stelios Bekiros & Rangan Gupta, 2017. "The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method," Empirical Economics, Springer, vol. 53(3), pages 879-889, November.
    18. Baur, Dirk G., 2013. "The structure and degree of dependence: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 786-798.
    19. Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
    20. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2015. "Does gold act as a hedge or a safe haven for stocks? A smooth transition approach," Economic Modelling, Elsevier, vol. 48(C), pages 16-24.
    21. Reboredo, Juan C., 2013. "Is gold a hedge or safe haven against oil price movements?," Resources Policy, Elsevier, vol. 38(2), pages 130-137.
    22. Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho, 2011. "A consistent nonparametric test for nonlinear causality—Specification in time series regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 112-127.
    23. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. repec:eee:jrpoli:v:57:y:2018:i:c:p:196-212 is not listed on IDEAS
    2. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
    3. Selmi, Refk & Mensi, Walid & Hammoudeh, Shawkat & Bouoiyour, Jamal, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Energy Economics, Elsevier, vol. 74(C), pages 787-801.
    4. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Energy Economics, Elsevier, vol. 66(C), pages 536-546.
    5. Nikolaos Antonakakis & Mehmet Balcilar & Elie Bouri & Rangan Gupta, 2017. "Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201708, University of Pretoria, Department of Economics.
    6. repec:taf:applec:v:50:y:2018:i:17:p:1891-1909 is not listed on IDEAS
    7. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar, 2016. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Open Economies Review, Springer, vol. 27(2), pages 229-250, April.
    8. repec:eee:finana:v:58:y:2018:i:c:p:1-7 is not listed on IDEAS
    9. repec:eee:phsmap:v:514:y:2019:i:c:p:345-354 is not listed on IDEAS
    10. Yong Jiang, 2018. "Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles," Papers 1810.08396, arXiv.org.
    11. Jamal Bouoiyour & Refk Selmi, 2019. "The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business," Papers 1903.08076, arXiv.org.
    12. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2017. "Does Inflation Cause Gold Prices? Evidence from G7 Countries," Working Papers 15-31, Eastern Mediterranean University, Department of Economics.
    13. repec:eee:jrpoli:v:52:y:2017:i:c:p:257-265 is not listed on IDEAS
    14. Bonato, Matteo & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2018. "Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach," Resources Policy, Elsevier, vol. 57(C), pages 196-212.
    15. Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
    16. Chang, Tsangyao & Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian, 2019. "Predicting stock market movements with a time-varying consumption-aggregate wealth ratio," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 458-467.
    17. Bouri, Elie & Gupta, Rangan & Tiwari, Aviral Kumar & Roubaud, David, 2017. "Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions," Finance Research Letters, Elsevier, vol. 23(C), pages 87-95.
    18. Bouri, Elie & Roubaud, David & Jammazi, Rania & Assaf, Ata, 2017. "Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices," Finance Research Letters, Elsevier, vol. 23(C), pages 23-30.
    19. repec:eee:eneeco:v:78:y:2019:i:c:p:615-628 is not listed on IDEAS
    20. Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
    21. repec:eee:finlet:v:27:y:2018:i:c:p:169-174 is not listed on IDEAS
    22. repec:eee:jrpoli:v:55:y:2018:i:c:p:244-252 is not listed on IDEAS
    23. Shahbaz, Muhammad & Balcilar, Mehmet & Abidin Ozdemir, Zeynel, 2017. "Does oil predict gold? A nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 52(C), pages 257-265.
    24. Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2018. "Time-Varying Risk Aversion and Realized Gold Volatility," Working Papers 201881, University of Pretoria, Department of Economics.
    25. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2018. "Does inflation cause gold market price changes? evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance," Applied Economics, Taylor & Francis Journals, vol. 50(17), pages 1891-1909, April.

    More about this item

    Keywords

    Gold returns; Gold volatility; Causality; Uncertainty;

    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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:pre:wpaper:201592. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta). General contact details of provider: http://edirc.repec.org/data/decupza.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.