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Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test

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Listed:
  • Balcilar, Mehmet
  • Gupta, Rangan
  • Pierdzioch, Christian
Abstract
Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this research by using a novel nonparametric causality-in-quantiles test to study how measures of policy and equity-market uncertainty affect gold-price returns and volatility. For daily and monthly data, we find evidence of causality running from various uncertainty measures to both gold returns and volatility. For quarterly data, evidence of causality weakens and is significant only for some uncertainty measures and only for gold volatility.

Suggested Citation

  • Balcilar, Mehmet & Gupta, Rangan & Pierdzioch, Christian, 2016. "Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test," Resources Policy, Elsevier, vol. 49(C), pages 74-80.
    • Handle: RePEc:eee:jrpoli:v:49:y:2016:i:c:p:74-80
    DOI: 10.1016/j.resourpol.2016.04.004
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    More about this item

    Keywords

    Gold returns; Gold volatility; Causality; Nonparametric quantile regression; Uncertainty;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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