Marzo, Massimiliano and Zagaglia, Paolo (2010): Gold and the U.S. Dollar: Tales from the turmoil.
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We investigate how the relation between gold prices and the U.S. Dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the Euro and the British Pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia (2008) to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of Cappiello, Gerard and Manganelli (2005). We document the ability of gold to generate stable comovements with the Dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. Dollar.
|Item Type:||MPRA Paper|
|Original Title:||Gold and the U.S. Dollar: Tales from the turmoil|
|English Title:||Gold and the U.S. Dollar: Tales from the turmoil|
|Keywords:||gold; exchange rates; GARCH; quantile regressions|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
F - International Economics > F3 - International Finance > F33 - International Monetary Arrangements and Institutions
|Depositing User:||Paolo Zagaglia|
|Date Deposited:||30. Apr 2010 11:05|
|Last Modified:||16. Feb 2013 11:57|
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