Investing in gold: Individual asset risk in the long run

Michis, Antonis

doi:10.1016/j.frl.2014.07.008

Cited by 21 publications

(8 citation statements)

References 22 publications

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“…studies show that gold can be profitable for portfolio diversification (Choudhry et al, 2015;Hammoudeh et al, 2013;Hoang et al, 2015b;Michis, 2014). Furthermore, gold has also been demonstrated to be a safe haven in downward periods of other assets such as stocks and bonds (Baur and Lucey, 2010;Beckmann et al, 2015;Gürgün and Ünalmis, 2014).…”

Section: Resultsmentioning

confidence: 99%

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

2016

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This paper aims to study the role of gold as a hedge against inflation based on local monthly gold prices in China, India, Japan, France, the United Kingdom and the United States of America in periods ranging from 1955 to 2015. We extend the literature by using a novel approach with the nonlinear autoregressive distributed lags (NARDL) model (Shin et al., 2014). The main advantage of this model relies on its ability to simultaneously capture the short-and long-run asymmetries through positive and negative partial sum decompositions of changes in the independent variable(s). Moreover, we rely on local gold prices instead of those from London converted into local currencies like in most of previous studies. The results show that gold is not a hedge against inflation in the long run in all cases. In the short run, gold is an inflation hedge only in the UK, USA, and India. Furthermore, there is no long-run equilibrium between gold prices and the CPI in China, India and France. This difference may be due to traditional aspects of gold and custom controls for gold trade in these countries. Our robustness check suggests that the data time-frequency does not change the specification of the NARDL model but can change conclusions regarding the role of gold as a hedge against inflation in certain countries.

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Section: Resultsmentioning

confidence: 99%

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

2016

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“…Studies relying on copula and wavelet approaches have recently been adopted to analyze gold price movements. From an econometric perspective, the closest contributions to our study are provided by Reboredo and Rivera-Castro (2014a,b) and Michis (2014). However, the latter two studies adopt wavelet approaches in a different context while the first study focuses exclusively on copulas when analyzing the price of gold.…”

Section: Literature Reviewmentioning

confidence: 99%

Gold price dynamics and the role of uncertainty

Beckmann

Berger

Czudaj

2018

Quantitative Finance

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This study adopts a copula wavelet approach to analyze dynamics of the gold price against bonds, stocks and exchange rates based on disaggregation of the underlying relationships across different frequencies. We also examine whether gold prices are directly affected by changes in uncertainty. Analyzing data for nine economies for a sample period starting in 1985, we find that the role of gold changes significantly after the collapse of Lehman Brothers in 2008. Gold is unable to serve as a hedge in the classical sense while the findings for the period prior to 2008 mostly suggest that gold is able to shield investors. Uncertainty measures display a surprising and time-varying relationship with the path of the gold price. While economic policy uncertainty is positively correlated with gold price developments, macroeconomic uncertainty and inflation uncertainty among forecasters are both negatively related to gold.

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“…Kumar (2014) shows that stock + gold portfolios perform better than stock-only portfolios. Based on a wavelet analysis, Michis (2014) concludes that gold provides the lowest contribution to the portfolios' risk at medium-and long-term investment horizons. Baur and Löffler (2015), Choundhry et al (in press), and Malliaris and Malliaris (2015) confirm the results of previous articles about the significant impact of gold in the diversification of portfolios.…”

Section: Gold In the Diversification Of Portfolios: A Literature Reviewmentioning

confidence: 99%