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- W4225087908 abstract "This paper investigates whether the uncertainty-hedging aura of gold has faded away. The rolling window Granger causality tests are employed to detect the mutual relationship between the world uncertainty index (WUI) and gold price (GP). We find the positive influence that ripples from WUI towards GP, which indicates that gold keeps the uncertainty-hedging aura in times of economic and political disarray. GP may increase during certain high WUI periods to hedge risks of losses, and it also shows a declining trend during periods of low WUI. The results can be explained by the Intertemporal Capital Asset Pricing Model, which emphasizes that GP should lead to a positive response to WUI. In turn, the negative impact from GP to WUI suggests that the global political and economic situation can be predicted through the gold market. Therefore, investors are able to optimize the design of portfolios involving gold to hedge against the WUI. Furthermore, governments can analyze the global uncertainty trends through the path of GP, adjust policy formulations, counteract potential negative effects on the economy and promote the stable development of the world." @default.
- W4225087908 created "2022-04-30" @default.
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- W4225087908 date "2022-08-01" @default.
- W4225087908 modified "2023-10-16" @default.
- W4225087908 title "Does gold's hedging uncertainty aura fade away?" @default.
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- W4225087908 doi "https://doi.org/10.1016/j.resourpol.2022.102726" @default.
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