Global crises and gold as a safe haven : evidence from over seven and a half centuries of data
| dc.contributor.author | Boubaker, Heni | |
| dc.contributor.author | Cunado, Juncal | |
| dc.contributor.author | Gil-Alana, Luis A. | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2020-03-27T15:33:29Z | |
| dc.date.issued | 2020-02 | |
| dc.description.abstract | Using annual data spanning the period of 1258–2018, we test the safe haven characteristic of gold in the wake of global crises. We find that, when we allow for regime-switching to capture nonlinearity and structural breaks, gold serves as a strong hedge against crises, especially during the bullish regime of the market, and in particular from the post-World War I period, as suggested by a time-varying model. In comparison, silver, however, does not seem to possess the safe haven property over the historical period of 1688–2018. Finally, we also find that global crises can accurately predict real gold returns over a long-span (1302-2018) out-of-sample period. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2021-02-15 | |
| dc.description.librarian | hj2020 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/physa | en_ZA |
| dc.identifier.citation | Boubaker, H., Cunado, J., Gil-Alana, L. A. et al. 2020, 'Global crises and gold as a safe haven: evidence from over seven and a half centuries of data', Physica A: Statistical Mechanics and its Applications, vol. 540, art. 123093, pp. 1-8. | en_ZA |
| dc.identifier.issn | 0378-4371 (print) | |
| dc.identifier.issn | 1873-2119 (online) | |
| dc.identifier.other | 10.1016/j.physa.2019.123093 | |
| dc.identifier.uri | http://hdl.handle.net/2263/73850 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2019 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Physica A: Statistical Mechanics and its Applications. 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 Physica A: Statistical Mechanics and its Applications, vol. 540, art. 123093, pp. 1-8, 2020. doi : 10.1016/j.physa.2019.123093. | en_ZA |
| dc.subject | Global crises | en_ZA |
| dc.subject | Gold | en_ZA |
| dc.subject | Safe haven | en_ZA |
| dc.subject | Regime-switching model | en_ZA |
| dc.title | Global crises and gold as a safe haven : evidence from over seven and a half centuries of data | en_ZA |
| dc.type | Postprint Article | en_ZA |