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dc.contributor.author | Salisu, Afees A.![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Ntyikwe, Siphesihle![]() |
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dc.contributor.author | Demirer, Riza![]() |
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dc.date.accessioned | 2024-07-10T12:37:13Z | |
dc.date.available | 2024-07-10T12:37:13Z | |
dc.date.issued | 2023-09-26 | |
dc.description | SUPPORTING INFORMATION: FILE S1: (https://aimspress.com//aimspress-upload/article_attachments/qfe/20239277492139.pdf) | en_US |
dc.description.abstract | We examine the potential of gold and other precious metals as safe havens during negative market shocks caused by the Global Financial Cycle (GFCy). We analyze a vast global vector autoregressive (GVAR) model that includes developing and emerging market countries for a total of 33 countries, from 1979:Q2 to 2019:Q4. This approach allows us to account for individual country peculiarities while also considering the transmission of global shocks. We found that during financial market distress caused by a negative GFCy shock, gold, silver and platinum all serve as hedges. Interestingly, our results suggest that silver and platinum are better hedges than gold, offering greater positive returns in response to negative GFCy shocks, especially in recent years. Overall, our findings support the benefits of investing in precious metals, as they can help investors mitigate losses resulting from global financial shocks. While the metals vary in their hedging ability, platinum and silver offer even greater protection than gold. | en_US |
dc.description.department | Economics | en_US |
dc.description.sdg | SDG-08:Decent work and economic growth | en_US |
dc.description.uri | http://www.aimspress.com/journal/QFE | en_US |
dc.identifier.citation | Afees A. Salisu, Rangan Gupta, Siphesihle Ntyikwe, Riza Demirer. Gold and the global financial cycle. Quantitative Finance and Economics, 2023, 7(3): 475-490. doi: 10.3934/QFE.2023024. | en_US |
dc.identifier.issn | 2573-0134 (online) | |
dc.identifier.other | 10.3934/QFE.2023024 | |
dc.identifier.uri | http://hdl.handle.net/2263/96917 | |
dc.language.iso | en | en_US |
dc.publisher | American Institute of Mathematical Sciences | en_US |
dc.rights | © 2023 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0). | en_US |
dc.subject | Precious metals | en_US |
dc.subject | Safe haven property | en_US |
dc.subject | Global financial cycle | en_US |
dc.subject | Global vector autoregressive model | en_US |
dc.subject | SDG-08: Decent work and economic growth | en_US |
dc.title | Gold and the global financial cycle | en_US |
dc.type | Article | en_US |