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The place of gold in the cross-market dependencies

  • Sofiane Aboura , Julien Chevallier EMAIL logo , Rania Jammazi and Aviral Kumar Tiwari
Published/Copyright: March 25, 2016

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.

JEL Classification: L61; C34; C58; E44; G15

Corresponding author: Julien Chevallier, IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France, Phone: +33 (0)1 49 40 73 86, Fax: +33 (0)1 49 40 72 55, e-mail: ; and Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint Denis Cedex, France

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.


Published Online: 2016-3-25
Published in Print: 2016-12-1

©2016 Walter de Gruyter GmbH, Berlin/Boston

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