We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by citet{sz08} to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of citet{cap05} to study the impact of the turmoil on the relation between gold and the U.S. Dollar. We document the ability of gold to generate stable comovements with the Dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. Dollar.

M.Marzo, P.Zagaglia (2013). Gold and the U.S. Dollar: Tales from the Turmoil. QUANTITATIVE FINANCE, 13(4), 571-582 [10.1080/14697688.2012.708431].

Gold and the U.S. Dollar: Tales from the Turmoil

MARZO, MASSIMILIANO;ZAGAGLIA, PAOLO
2013

Abstract

We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by citet{sz08} to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of citet{cap05} to study the impact of the turmoil on the relation between gold and the U.S. Dollar. We document the ability of gold to generate stable comovements with the Dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. Dollar.
2013
M.Marzo, P.Zagaglia (2013). Gold and the U.S. Dollar: Tales from the Turmoil. QUANTITATIVE FINANCE, 13(4), 571-582 [10.1080/14697688.2012.708431].
M.Marzo; P.Zagaglia
File in questo prodotto:
Eventuali allegati, non sono esposti

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/124508
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 42
  • ???jsp.display-item.citation.isi??? 39
social impact