Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test
Tóm tắt
Từ khóa
Tài liệu tham khảo
Bai, 2003, Computation and analysis of multiple structural change models, J. Appl. Econom., 18, 1, 10.1002/jae.659
Baker, S., Bloom, N. and Davis, S., 2015. Measuring Economic Policy Uncertainty. NBER Working Paper No. 21633
Balcilar, M., Bekiros, S., Gupta, R., 2016. The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method. Empirical Economics. (Forthcoming)
Balcilar, 2016, Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test, Open Econom. Rev., 27, 229, 10.1007/s11079-016-9388-x
Baur, 2013, The structure and degree of dependence: a quantile regression approach, J. Bank. Financ., 37, 786, 10.1016/j.jbankfin.2012.10.015
Baur, 2010, Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financ. Rev., 45, 217, 10.1111/j.1540-6288.2010.00244.x
Baur, 2010, Is gold a safe haven? International evidence, J. Bank. Financ., 34, 1886, 10.1016/j.jbankfin.2009.12.008
Beckmann, 2015, Does gold act as a hedge or a safe haven for stocks? A smooth transition approach, Econ. Model., 48, 16, 10.1016/j.econmod.2014.10.044
Beckmann, 2013, Gold as an inflation hedge in a time-varying coefficient framework, North Am. J. Econ. Financ., 24, 208, 10.1016/j.najef.2012.10.007
Beckmann, 2013, Oil and gold price dynamics in a multivariate cointegration framework, Int. Econ. Econ. Policy, 10, 453, 10.1007/s10368-013-0237-8
Brock, 1996, A test for independence based on the correlation dimension, Econ. Rev., 15, 197, 10.1080/07474939608800353
Ciner, 2013, Hedges and safe havens: an examination of stocks, bonds, gold, oil, and exchange rates, Int. Rev. Financ. Anal., 29, 202, 10.1016/j.irfa.2012.12.001
Colombo, 2013, Economic policy uncertainty in the us: does it matter for the euro area?, Econ. Lett., 121, 39, 10.1016/j.econlet.2013.06.024
Jeong, 2012, A consistent nonparametric test for causality in quantile, Econ. Theory, 28, 861, 10.1017/S0266466611000685
Jones, 2013, The time-varying correlation between uncertainty, output, and inflation: evidence from a DCC-GARCH model, Econ. Lett., 118, 33, 10.1016/j.econlet.2012.09.012
Kang, 2013, Oil shocks, policy uncertainty and stock market returns, J. Int. Financ. Mark. Inst. Money, 26, 305, 10.1016/j.intfin.2013.07.001
Nishiyama, 2011, A consistent nonpara– metric test for nonlinear causality – specification in time series regression, J. Econom., 165, 112, 10.1016/j.jeconom.2011.05.010
Pierdzioch, 2016, A quantile-boosting approach to forecasting gold returns, North Am. J. Econ. Financ., 35, 38, 10.1016/j.najef.2015.10.015
Reboredo, 2013, Is gold a hedge or safe haven against oil price movements?, Resour. Policy, 38, 130, 10.1016/j.resourpol.2013.02.003
Reboredo, 2013, Is gold a safe haven or a hedge for the us dollar? Implications for risk management, J. Bank. Financ., 37, 2665, 10.1016/j.jbankfin.2013.03.020