The role of macroeconomic and geopolitical news on gold returns and volatility

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2021-02-21 DOI:10.17811/EBL.10.1.2021.72-80

N. Apergis, T. Hayat, T. Saeed

引用次数: 0

Abstract

The goal of this paper is to explore the simultaneous role of macroeconomic and geopolitical news in gold returns and its associated volatility. The analysis uses sentiment scores for certain macroeconomic and geopolitical global news, along with a GARCH modelling approach. The findings document that both types of news substantially impact gold returns and their associated volatility, with geopolitical news having a stronger impact.

查看原文本刊更多论文

宏观经济和地缘政治新闻对黄金回报和波动性的影响

本文的目的是探讨宏观经济和地缘政治新闻在黄金回报及其相关波动中的同步作用。该分析使用了某些宏观经济和地缘政治全球新闻的情绪得分，以及GARCH建模方法。研究结果表明，这两种类型的新闻都对黄金回报及其相关波动性产生了实质性影响，其中地缘政治新闻的影响更大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.