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Is gold a safe haven for the dynamic risk of foreign exchange?
This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign exchan...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8558765/ http://dx.doi.org/10.1186/s43093-021-00101-9 |
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author | Wang, Kuan-Min Thi, Thanh-Binh Nguyen Lee, Yuan-Ming |
author_facet | Wang, Kuan-Min Thi, Thanh-Binh Nguyen Lee, Yuan-Ming |
author_sort | Wang, Kuan-Min |
collection | PubMed |
description | This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign exchange risk hedged by gold is dynamic, this study can fill the research gap in this area. The empirical results show that: First, gold can partly hedge against the depreciation of the currency in the long run; second, gold is unable to hedge against the risk of the exchange rate when considering dynamic hedging effects in the short run; third, when facing unexpected shocks, the impulse response shows that the gold returns have reversible reactions compared to exchange rate fluctuations; therefore, gold can regard as a safe haven for foreign exchange markets; Finally, the government, as well as investors should always be concerned about these dynamic risks and formulate effective hedging strategies to control the currency uncertainty. |
format | Online Article Text |
id | pubmed-8558765 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Springer Berlin Heidelberg |
record_format | MEDLINE/PubMed |
spelling | pubmed-85587652021-11-01 Is gold a safe haven for the dynamic risk of foreign exchange? Wang, Kuan-Min Thi, Thanh-Binh Nguyen Lee, Yuan-Ming Futur Bus J Research This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign exchange risk hedged by gold is dynamic, this study can fill the research gap in this area. The empirical results show that: First, gold can partly hedge against the depreciation of the currency in the long run; second, gold is unable to hedge against the risk of the exchange rate when considering dynamic hedging effects in the short run; third, when facing unexpected shocks, the impulse response shows that the gold returns have reversible reactions compared to exchange rate fluctuations; therefore, gold can regard as a safe haven for foreign exchange markets; Finally, the government, as well as investors should always be concerned about these dynamic risks and formulate effective hedging strategies to control the currency uncertainty. Springer Berlin Heidelberg 2021-11-01 2021 /pmc/articles/PMC8558765/ http://dx.doi.org/10.1186/s43093-021-00101-9 Text en © The Author(s) 2021 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) . |
spellingShingle | Research Wang, Kuan-Min Thi, Thanh-Binh Nguyen Lee, Yuan-Ming Is gold a safe haven for the dynamic risk of foreign exchange? |
title | Is gold a safe haven for the dynamic risk of foreign exchange? |
title_full | Is gold a safe haven for the dynamic risk of foreign exchange? |
title_fullStr | Is gold a safe haven for the dynamic risk of foreign exchange? |
title_full_unstemmed | Is gold a safe haven for the dynamic risk of foreign exchange? |
title_short | Is gold a safe haven for the dynamic risk of foreign exchange? |
title_sort | is gold a safe haven for the dynamic risk of foreign exchange? |
topic | Research |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8558765/ http://dx.doi.org/10.1186/s43093-021-00101-9 |
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