Journal
FINANCE RESEARCH LETTERS
Volume 8, Issue 3, Pages 120-131Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2011.01.001
Keywords
Exchange rates; Gold; Hedge; Dynamic conditional correlation
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Using a model of dynamic conditional correlations covering 23 years of weekly data for 16 major dollar-paired exchange rates, this paper addresses a practical investment question: Does gold act as a hedge against the US dollar, as a safe haven, or neither? Key findings are as follows. (i) During the past 23 years gold has behaved as a hedge against the US dollar. (ii) Gold has been a poor safe haven. (iii) In recent years gold has acted, increasingly, as an effective hedge against currency risk associated with the US dollar. (C) 2011 Elsevier Inc. All rights reserved.
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