Rare disaster risks and gold over 700 years : evidence from nonparametric quantile regressions

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dc.contributor.author Balcilar, Mehmet
dc.contributor.author Gupta, Rangan
dc.contributor.author Nel, Jacobus
dc.date.accessioned 2023-01-24T04:44:07Z
dc.date.issued 2022-12
dc.description.abstract Using annual data on real gold returns and measures of rare disaster risks over the period of 1280–2016, we show the existence of nonlinearity and regime changes in the relationship between the two variables of concern, over and above the existence of non-normality in the data. In light of these issues, we rely on a nonparametric quantile regression model to show that real gold returns can hedge against such risks, but only when the market is in its bullish-state, with it being negatively impacted in its bearish-phase. Understandably, our results have important implications for investors seeking refuge in the safe haven of gold during rare disaster events. In addition, our findings, would require theoreticians to develop new asset pricing models, which would incorporate the state-specific impact of rare disaster risks on gold. en_US
dc.description.department Economics en_US
dc.description.embargo 2024-04-17
dc.description.librarian hj2023 en_US
dc.description.uri http://www.elsevier.com/locate/resourpol en_US
dc.identifier.citation Balcilar, M., Gupta, R. & Nel, J. 2022, 'Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions', Resources Policy, vol. 79, art. 103053, pp. 1-12, doi : 10.1016/j.resourpol.2022.103053. en_US
dc.identifier.issn 0301-4207 (print)
dc.identifier.issn 1873-7641 (online)
dc.identifier.other 10.1016/j.resourpol.2022.103053
dc.identifier.uri https://repository.up.ac.za/handle/2263/88927
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.rights © 2022 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Resources Policy, vol. 79, art. 103053, pp. 1-12, 2022, doi : 10.1016/j.resourpol.2022.103053. en_US
dc.subject Real gold returns en_US
dc.subject Rare disaster risks en_US
dc.subject Quantile regressions en_US
dc.title Rare disaster risks and gold over 700 years : evidence from nonparametric quantile regressions en_US
dc.type Postprint Article en_US


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