The aim of this paper is to examine the role of gold in the global financial system. We test the hypothesis that gold represents a safe haven against stocks of major emerging and developing countries. A descriptive and econometric analysis for a sample spanning a 30 year period from 1979-2009...

There is a growing empirical literature on gold's safe haven status with respect to financial risks but no study with respect to global geopolitical risks. This paper extends the common focus on extreme stock market movements and financial turmoil with an analysis of geopolitical risk. We find...

This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn...

The aim of this paper is to examine the role of gold in the global financial system. We test the hypothesis that gold represents a safe haven against stocks of major emerging and developing countries. A descriptive and econometric analysis for a sample spanning a 30 year period from 1979-2009...

This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn...

Gold is a globally traded asset and held in large quantities by investors and central banks. Since there is no established model to assess if the price of gold is overvalued or undervalued, we propose a relative valuation framework based on gold price ratios. We analyze gold prices relative to...

The price of gold is influenced by a wide range of local and global factors such as commodity prices, interest rates, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is a notoriously difficult task and the main problem...

Gold is a globally traded asset and held in large quantities by investors and central banks. Since there is no established model to assess if the price of gold is overvalued or undervalued, we propose a relative valuation framework based on gold price ratios and focus on potential drivers of...

Gold is a globally traded asset and held in large quantities by investors and central banks. Since there is no established model to assess if the price of gold is overvalued or undervalued, we propose a relative valuation framework based on gold price ratios. We analyze gold prices relative to...

The price of gold is influenced by a wide range of local and global factors such as commodity prices, interest rates, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is a notoriously difficult task and the main problem...