Abstract
Using a GED-GARCH model to estimate monthly data from January 1990 to February 2022, we test whether gold acts as a hedge or safe haven asset in 10 countries. With a downturn of the stock market, gold can be viewed as a hedge and safe haven asset in the G7 countries. In the case of inflation, gold acts as a hedge and safe haven asset in the United States, United Kingdom, Canada, China, and Indonesia. For currency depreciation, oil price shock, economic policy uncertainty, and US volatility spillover, evidence finds that gold acts as a hedge and safe haven for all countries.
Keywords
Citation
Chiang, T.C. (2024), "Evidence of Gold as a Hedge or Safe Haven Against Risks and Policy Uncertainty
Publisher
:Emerald Publishing Limited
Copyright © 2024 Thomas C. Chiang. Published under exclusive licence by Emerald Publishing Limited
