Is gold a hedge or safe haven against oil price movements

doi:10.1016/J.RESOURPOL.2013.02.003

Home
/
Papers
/
Is gold a hedge or safe haven against oil price movements

Journal Article•DOI•

Is gold a hedge or safe haven against oil price movements

Juan C. Reboredo¹•Institutions (1)

University of Santiago de Compostela¹

01 Jun 2013-Resources Policy (Pergamon)-Vol. 38, Iss: 2, pp 130-137

TL;DR: In this article, the role of gold as a hedge or safe haven against oil price movements is assessed using an approach based on copulas to analyse the dependence structure between these two markets.

read less

About: This article is published in Resources Policy.The article was published on 2013-06-01. It has received 287 citations till now. The article focuses on the topics: Hedge (finance).

...read moreread less

Citations

PDF

Open Access

More filters

Journal Article•DOI•

Do global factors impact BRICS stock markets? A quantile regression approach

[...]

Walid Mensi¹, Shawkat Hammoudeh², Juan C. Reboredo³, Duc Khuong Nguyen•Institutions (3)

Tunis University¹, Drexel University², University of Santiago de Compostela³

01 Jun 2014-Emerging Markets Review

TL;DR: The authors examined the dependence structure between the emerging stock markets of the BRICS countries and influential global factors using the quantile regression approach, and found that the stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as well as changes in the U.S. stock market uncertainty (CBOE Volatility Index).

...read moreread less

347 citations

Cites background from "Is gold a hedge or safe haven again..."

...The four BRIC countries are expected to account for 41% of the world’s stock market capitalization by 2030, when China is expected to overtake the United States in equity market capitalization, thus becoming the largest equity market in the world....
[...]
...These global factors include: (i) the major global stock market represented by the S&P 500 stock returns; (ii) the WTI crude oil price expressed in U.S. dollars per barrel, which is a global benchmark for determining the prices of other light crudes in the United States (Reboredo, 2013a); (iii) the gold price expressed in U.S. dollars per ounce; (iv) the implied volatility of the S&P 500 index as represented by the VIX index; and (v) the U.S. economic policy uncertainty index....
[...]
...Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis....
[...]
...…oil price expressed in U.S. dollars per barrel, which is a global benchmark for determining the prices of other light crudes in the United States (Reboredo, 2013a); (iii) the gold price expressed in U.S. dollars per ounce; (iv) the implied volatility of the S&P 500 index as represented by the…...
[...]
...Kang and Ratti (2013) analyze the oil shocks, the economic policy uncertainty and the stock market return linkages, and find that for the United States an unanticipated increase in the policy uncertainty has a significant negative effect on the real stock returns....
[...]

Journal Article•DOI•

Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold

[...]

Refk Selmi¹, Walid Mensi², Walid Mensi³, Shawkat Hammoudeh⁴, Jamal Bouoiyour¹ - Show less +1 more•Institutions (4)

University of Pau and Pays de l'Adour¹, Sultan Qaboos University², Tunis University³, Drexel University⁴

01 Aug 2018-Energy Economics

TL;DR: In this paper, the authors assess the roles of Bitcoin as a hedge, a safe haven and/or a diversifier against extreme oil price movements, in comparison to the corresponding roles of gold.

...read moreread less

314 citations

Journal Article•DOI•

Is gold a hedge or a safe-haven asset in the COVID–19 crisis?

[...]

Akhtaruzzaman¹, Sabri Boubaker², Brian M. Lucey³, Brian M. Lucey⁴, Brian M. Lucey⁵, Ahmet Sensoy⁶ - Show less +2 more•Institutions (6)

Australian Catholic University¹, Vietnam National University, Hanoi², University of Sydney³, University of Economics, Ho Chi Minh City⁴, Trinity College, Dublin⁵, Bilkent University⁶

01 Sep 2021-Economic Modelling

TL;DR: This article examined the role of gold as a hedge or safe-haven asset in different phases of the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to support the weakened economy.

...read moreread less

216 citations

Journal Article•DOI•

Do food and oil prices co-move?

[...]

Juan C. Reboredo¹•Institutions (1)

University of Santiago de Compostela¹

01 Oct 2012-Energy Policy

TL;DR: In this paper, the co-movements between world oil prices and global prices for corn, soybean and wheat using copulas were investigated, showing that food price spikes are not caused by positive extreme oil price changes.

...read moreread less

207 citations

Posted Content•

The Financial Economics of Gold - a survey

[...]

O'Connor Fergal, Brian M. Lucey, Jonathan A. Batten, Dirk G. Baur

08 Jul 2015-Research Papers in Economics

TL;DR: A review of the literature on gold as an investment can be found in this article, where a review of how the gold markets operate, including the under researched leasing market, is presented.

...read moreread less

Abstract: We review the literature on gold as an investment. We summarize a wide variety of literature. We begin with a review of how the gold markets operate, including the under researched leasing market; we proceed to examine research on physical gold demand and supply, gold mine economics and move onto analyses of gold as an investment. Additional sections provide context on gold market efficiency, the issue of gold market bubbles, gold’s relation to inflation and interest rates, and the very nascent literature on the behavioural aspects of gold.

...read moreread less

205 citations

Cites background from "Is gold a hedge or safe haven again..."

...Reboredo (2013) reassesses this issue confirming gold’s ability to hedge US dollar risk and finds that in the tails gold does still act to reduce dollar risk across all currency pairs....
[...]
...This paper also finds gold as a safe haven against extreme oil price movements, also found in Reboredo (2013)....
[...]
...Both 31 Reboredo (2013) and Ciner, Gurdgiev, and Lucey (2013) suggest limited hedging but some safe haven characteristics for gold against crude oil....
[...]
...Reboredo (2013) also finds that gold acts as a dollar hedge using weekly data from 2000 -2011 for 8 currency pairs....
[...]
...Reboredo (2013) also finds that gold acts as a dollar hedge using weekly data from 2000 -2011 for 8 currency pairs. Similar findings, of gold as a potentially useful hedge for currencies are reported in Reboredo and Rivera-Castro (2014), Yang and Hamori (2013) who also examines the safe haven properties of gold for currencies, and Apergis (2014) who shows gold as a useful predictor and hedge for the Australian dollar....
[...]

1
2
3
4
…
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58

Collapse

References

PDF

Open Access

More filters

Book•

An Introduction to Copulas

[...]

Roger B. Nelsen

01 Jan 1999

TL;DR: This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.

...read moreread less

Abstract: The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.

...read moreread less

8,626 citations

Journal Article•DOI•

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

[...]

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle

01 Dec 1993-Journal of Finance

TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.

...read moreread less

Abstract: We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, we also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility. THE TRADEOFF BETWEEN RISK and return has long been an important topic in asset valuation research. Most of this research has examined the tradeoff between risk and return among different securities within a given time period. The intertemporal relation between risk and return has been examined by several authors-Fama and Schwert (1977), French, Schwert, and Stambaugh (1987), Harvey (1989), Campbell and Hentschel (1992), Nelson (1991), and Chan, Karolyi, and Stulz (1992), to name a few. This paper extends that research.

...read moreread less

7,837 citations

Journal Article•DOI•

Multivariate models and dependence concepts

[...]

Harry Joe

01 Sep 1998-Biometrics

TL;DR: Introduction.

...read moreread less

Abstract: Introduction. Aspects of Interpretation. Technical Considerations. Statistical Analysis. Special Methods for Joint Responses. Some Examples. Strategical Aspects. More Specialized Topics. Appendices.

...read moreread less

3,913 citations

Journal Article•DOI•

Threshold heteroskedastic models

[...]

Jean-Michel Zakoian¹•Institutions (1)

Lille University of Science and Technology¹

01 Sep 1994-Journal of Economic Dynamics and Control

TL;DR: In this paper, the conditional standard deviation is a piecewise linear function of past values of the white noise, which allows different reactions of the volatility to different signs of the lagged errors.

...read moreread less

2,125 citations

Journal Article•DOI•

Modelling asymmetric exchange rate dependence

[...]

Andrew J. Patton¹•Institutions (1)

London School of Economics and Political Science¹

01 May 2006-International Economic Review

TL;DR: In this paper, the authors test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations.

...read moreread less

Abstract: We test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations. We consider an extension of the theory of copulas to allow for conditioning variables, and employ it to construct flexible models of the conditional dependence structure of these exchange rates. We find evidence that the mark‐dollar and yen‐dollar exchange rates are more correlated when they are depreciating against the dollar than when they are appreciating.

...read moreread less

1,666 citations