The gold price in times of crisis

Białkowski, Jędrzej; Bohl, Martin T.; Stephan, Patrick M.; Wisniewski, Tomasz Piotr

doi:10.1016/j.irfa.2014.07.001

Cited by 108 publications

(48 citation statements)

References 44 publications

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“…In the subsequent three years, from October 2008 to September 2011, it galloped at an average annual rate of 36%, stimulating a research inquiry into the presence of speculative bubbles in the gold price Bi lkowski et al (2014). However, in the next three years, from October 2011 to August 2014, it has decreased at an average annual rate of 7.16%, as the gold market has been driven predominantly driven by bearish trading.…”

Section: Introductionmentioning

confidence: 99%

Dynamic spillovers between commodity and currency markets

Antonakakis

Kizys

2015

International Review of Financial Analysis

200

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In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers to the remaining assets in our model. Third, the analysis of dynamic spillovers shows time-and event-specific patterns. For instance, the dynamic spillover effects originating in gold and silver (platinum) returns and volatility intensified (degraded) in the period marked by the global financial crisis. After the global financial crisis, the net transmitting role of gold and silver (platinum) returns shocks weakened (strengthened), while the net transmitting role of gold, silver and platinum volatility shocks remained relatively high. Overall, our findings reveal that, while the static analysis clearly classifies the aforementioned variables into net transmitters and net receivers, the dynamic analysis denotes episodes wherein the role of transmitters and receivers of return (volatility) spillovers can be interrupted or even reversed. Hence, even if certain commonalities prevail in each identified category of commodities, such commonalities are time-and event-dependent.

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Section: Introductionmentioning

confidence: 99%

Dynamic spillovers between commodity and currency markets

Antonakakis

Kizys

2015

International Review of Financial Analysis

200

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“…Other tests for mildly explosive/bubble behaviour involving precious metals, but not using the PWY/PSY methodology, include Bialkowski et al (2015) who used a regime-switching model alongside various proposed measures of fundamental value.…”

Section: Introductionmentioning

confidence: 99%

The shine of precious metals around the global financial crisis

Figuerola‐Ferretti

McCrorie

2016

Journal of Empirical Finance

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We analyze the price behaviour of the main precious metals -gold, silver, platinum and palladium -before, during and in the aftermath of the 2007-08 financial crisis. Using the mildly explosive/multiple bubbles technology developed by Phillips, Shi and Yu (2015, International Economic Review 56(4), 1043-1133), we find significant, short periods of mildly explosive behaviour in the spot and futures prices of all four metals. Fewer periods are detected using exchange-rate adjusted prices, and almost none when deflated prices are used.We assess whether these findings are indicative of bubble behaviour. Convenience yield is shown to have little efficacy in this regard, while other fundamentals proxy variables and position data offer only very limited evidence against prices having been anything other than fundamentals-driven. Possible exceptions are in gold in the run-up to the highpoint of the financial crisis, and in silver and palladium around the launch of specific financial products. Some froth, however, is reported and discussed for each metal.JEL classification: C22; D84; G13

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“…Given the various factors affecting the gold price and difficulties in determining its fundamental value due to the fact that it does not produce any income streams, these methods provide more accurate findings. Bialkowski et al (2012) test for the existence of a gold bubble by employing a methodology that incorporates estimating the fundamental price of gold using the convenience yield. Their findings contradict that of Homm and Breitung (2012) and Baur and Glover (2012), and they find that a gold bubble does not exist and that the explosive price can be fully explained by the fundamental value of gold.…”

Section: ~ 20 ~mentioning

confidence: 99%

“…This notion is supported by some of the greatest names in the investment realm, including George Soros and John Paulson, who have both publicly declared their view of gold as an asset bubble. This opinion was rejected by Bialkowski, Bohl, Stephan and Wisniewski (2012), who found that the fundamental value of gold, given its value as a safe haven, dollar and inflation hedge and diversifier, explained the explosive nature of the gold price over the recent recessionary period. Any asset bubble in the market can be dangerous as demonstrated by the U.S. housing bubble preceding, and largely responsible for, the credit crisis.…”

Section: Introductionmentioning

confidence: 99%