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

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.