Abstract
This paper investigates the inter-relationships between the gold price on the one hand, other precious metals (e.g. silver, palladium, platinum) and asset markets (e.g. stocks, bonds, crude oil) on the other hand. The econometric methodology relies on the Markov-switching BEKK model by Haas and Mittnik (2008) that captures time-varying correlations and bull-bear regimes for bivariate specifications. The model is applied to daily data from 1988 to 2013. The main results indicate that gold’s influence, through return and/or volatility spillovers, seems almost intact whatever the economic regime. Robustness checks of the statement that gold occupies a special place among commodities are provided under the form of a multi-asset portfolio management exercise.
Acknowledgments:
We thank very much the editor and the anonymous reviewers for their constructive comments, which helped us to improve the manuscript.
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Supplemental Material:
The online version of this article (DOI: 10.1515/snde-2015-0017) offers supplementary material, available to authorized users.
©2016 Walter de Gruyter GmbH, Berlin/Boston
Artikel in diesem Heft
- Frontmatter
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Dating US business cycles with macro factors
- Effects of filtering data on testing asymmetry in threshold autoregressive models
- The place of gold in the cross-market dependencies
- Li-Yorke chaos in models with backward dynamics
- Hopf bifurcation in an overlapping generations resource economy with endogenous population growth rate
Artikel in diesem Heft
- Frontmatter
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Dating US business cycles with macro factors
- Effects of filtering data on testing asymmetry in threshold autoregressive models
- The place of gold in the cross-market dependencies
- Li-Yorke chaos in models with backward dynamics
- Hopf bifurcation in an overlapping generations resource economy with endogenous population growth rate