consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also … implies that gold is a safe-haven asset against the U.S. dollar exchange rate risk against a broad range of currencies. The …We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have … researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of …

currency in the long run; second, gold is unable to hedge against the risk of the exchange rate when considering dynamic … error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the … existing literature has never considered that the foreign exchange risk hedged by gold is dynamic, this study can fill the …

series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo … methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance … densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …

In light of the recent discussion regarding the measurement of uncertainty and its impact on economic activity, this … paper derives forward-looking measures of uncertainty and directional expectations for the CHF/EUR exchange rate based on … over-the-counter option data and analyses its impact on exports. First, risk-neutral option-implied probability density …

Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … equity indices are positively linked with geopolitical risk (GPR), signifying their hedging capabilities against GPR shocks …. These hedging abilities are more pronounced in the consumer goods, oil & gas, and financial sectors. Furthermore, the …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to … identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight … for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US …