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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
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    References listed on IDEAS

    as
    1. 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.
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    20. 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.
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    More about this item

    Keywords

    Gold returns; Gold volatility; Causality; Uncertainty;
    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
    • 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

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