Global economic contraction, climate change and the gold market volatility: A GARCH‐MIDAS approach

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-06-05 DOI:10.1111/1467-8454.12369

Afees A. Salisu, D. J. Penzin, X. Vo

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引用次数: 0

Abstract

Our paper has two main objectives. First, we aim to investigate the relationship between global economic contraction (GECON) and the return volatility of gold. Second, we examine the role of climate change as a mediator in this connection. To achieve this, we use the GARCH‐MIDAS model, which accommodates data in different frequencies in the same model. This prevents the loss of important information when aggregating high‐frequency data to lower‐frequency data. We also use alternative measures of GECON from Kilian and Zhou (Journal of International Money and Finance, 2018; 88, 54–78) and Baumeister et al. (Review of Economics and Statistics, 2020;104(4), 828–844) to ensure the robustness of our findings. Our results show that global economic contraction positively impacts the return volatility of gold. Additionally, our findings confirm that the increased uncertainty caused by climate change makes gold a safe haven for investors. This means that gold's return volatility is not negatively impacted by the rising level of uncertainty caused by climate‐induced contraction. Moreover, we note that the index of GECON that accommodates more dynamics can produce more accurate predictability for gold market volatility. Our analysis of stock market volatility further confirms that gold has a safe haven potential relative to the stock market.

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全球经济收缩、气候变化和黄金市场波动：GARCH-MIDAS 方法

我们的论文有两个主要目标。首先，我们旨在研究全球经济紧缩（GECON）与黄金回报波动之间的关系。其次，我们研究了气候变化在这一关系中的中介作用。为此，我们使用了 GARCH-MIDAS 模型，该模型可将不同频率的数据纳入同一模型。这就避免了将高频数据汇总到低频数据时重要信息的丢失。我们还使用了 Kilian 和 Zhou（《国际货币与金融杂志》，2018 年；88，54-78）以及 Baumeister 等人（《经济学与统计学评论》，2020 年；104(4)，828-844）对 GECON 的替代衡量方法，以确保我们研究结果的稳健性。我们的研究结果表明，全球经济收缩对黄金的回报波动性产生了积极影响。此外，我们的研究结果还证实，气候变化导致的不确定性增加使黄金成为投资者的避风港。这意味着，黄金的回报波动性不会受到气候导致的收缩所造成的不确定性水平上升的负面影响。此外，我们还注意到，容纳更多动态因素的 GECON 指数可以更准确地预测黄金市场的波动性。我们对股市波动性的分析进一步证实，相对于股市，黄金具有避险潜力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.