Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069747 | Finance Research Letters | 2011 | 12 Pages |
Abstract
Using a model of dynamic conditional correlations covering 23Â years of weekly data for 16 major dollar-paired exchange rates, this paper addresses a practical investment question: Does gold act as a hedge against the US dollar, as a safe haven, or neither? Key findings are as follows. (i) During the past 23Â years gold has behaved as a hedge against the US dollar. (ii) Gold has been a poor safe haven. (iii) In recent years gold has acted, increasingly, as an effective hedge against currency risk associated with the US dollar.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mark Joy,