Journal
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
Volume 58, Issue -, Pages 1-7Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2018.03.009
Keywords
Price of gold; Economic policy uncertainty; VIX; Partisan conflict; Price of oil; Real exchange rate
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This paper analyzes the determinants of the price of gold with a special focus on four uncertainty measures (namely, the volatility (VIX), skewness (SKEW), global economic policy uncertainty (EPU), and partisan conflict (PC) indexes). The nonlinear Autoregressive-distributed Lag (ARDL) model is used to investigate the asymmetric effect of uncertainty measures on gold prices. The results show that rising economic policy uncertainty contributes to increases in the price of gold. By contrast, gold prices are less likely to fall when economic policy conditions are improved.
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