黄金是安全的避风港吗?重新审视国际证据

IF 0.7 4区经济学 Q3 ECONOMICS

Acta Oeconomica Pub Date : 2020-12-01 DOI:10.1556/032.2020.00035

L. Bulut, Islam Rizvanoghlu

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引用次数: 4

摘要

有关新兴国家和发展中国家黄金避险性质的文献尚未确定。因此，我们通过2000年1月至2018年11月的每日数据，重新审视了34个新兴国家和发展中国家关于黄金套期保值和避险作用的国际证据。我们采用GARCH copula方法来估计黄金和股票收益联合分布的下尾极端依赖性。我们还为资产的强避险性质引入了一个新的定义。我们的研究结果表明，虽然黄金是样本中所有国家的对冲工具，但我们得到的证据表明，只有20个国家的黄金避险资产较弱，只有9个国家的避险资产较强。

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Is gold a safe haven? The international evidence revisited

The literature has not settled down on safe haven property of gold in the emerging and developing countries. Therefore, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000–November 2018. We employ the GARCH-copula approach to estimate the lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for the strong safe haven property of an asset. Our findings indicate that while gold serves as a hedging instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 20 countries, and a strong safe haven asset (SHA) only in 9 countries.

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来源期刊

Acta Oeconomica ECONOMICS-

CiteScore

1.40

自引率

25.00%

发文量

期刊介绍： Acta Oeconomica publishes articles on Eastern European and Hungarian economic transition, theoretical and general issues of the transition process, economic policy, econometrics and mathematical economics. Space is also devoted to international economics, European integration, labour economics, industrial organisation, finance and business economics.Publishes book reviews and advertisements.