Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon

Hedging exchange rate risk in the gold market: A panel data analysis

“…Third, having compared estimations of weekly, monthly, and quarterly data, we discover that high-frequency hedge effects are better than are low-frequency hedge effects, likely because high-frequency data reflect greater fluctuation risk when gold also has the characteristics of a safe haven in addition to the hedging function, and low-frequency data reflect weaker fluctuation risk with weaker hedge effects or safe haven characteristics. These findings echo those of Baur and McDermott (2010) and Bredin et al (2015). Our findings are of great importance to investors and national currency authorities because gold hedging of exchange rate risk must consider differences among countries and differences in the demand and supply elasticity of gold as well as the asymmetric effect arising from exchange rate changes.…”

“…Second, we discover that highfrequency hedge effects are better than are low-frequency hedge effects, likely because high-frequency data reflect greater fluctuation risk when gold also has the characteristics of a safe haven in addition to the hedging function, and low-frequency data reflect weaker fluctuation risk with weaker hedge effects or safe haven characteristics. These findings echo those of Baur and McDermott (2010) and Bredin et al (2015). 5 Finally, except for the results for the quarterly data, the weekly and monthly data results show that the hedge effects in the major consuming countries are greater than those in the major producing countries, which is consistent with the theoretical inference in Fig.…”

“…This study specifically targets these three groups of countries for our analyses. In addition to analyzing the time-series data of individual countries, we examine the panel data of countries and consider the asymmetric (1) Gold is partially able to hedge future inflation in the long-run and this ability is stronger for the USA and the UK compared to Japan and the Euro Area (2) The adjustment of the general price level is characterized by regime-dependence, implying that the usefulness of gold as an inflation hedge for investors crucially depends on the time horizon (3) One regime approximately accounts for times of turbulence while the other roughly corresponds to "normal times" Bredin et al (2015) This study examines the hedging and safe-haven properties of gold for investors with short-and long-run horizons Gold price, Equities index, and Bond price in US, UK, Germany 1st January 1980 to 31st December 2013…”

Diamonds vs. Precious Metals: What Shines Brightest in Your Investment Portfolio?

“…While gold is a good diversifier for stock portfolios, it is not the optimal choice when comes to bond portfolios. As a hedge for traditional assets, Bredin et al (2015) conclude that the effect of gold can sustain for up to one year.…”

Global risk and demand for gold by central banks

“…Several studies have examined the role of gold in portfolio diversification of investors and households (Beckmann, Berger, & Czudaj, 2015;Bredin, Conlon, & Poti, 2015;Dempster & Artigas,2009). 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 The demand for gold typically rises during "risk-off" periods when there is a "flight to quality" (Baur & Lucey, 2010;Baur & McDermott, 2010).…”