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Abstract By utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are… Click to show full abstract
Abstract By utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are consistent across different frequency bands in short, medium, and long terms.
Keywords:
role uncertainty;
measures returns;
returns gold;
uncertainty measures
Journal Title: Economics Letters
Year Published: 2019
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!