Determinants of asymmetric return comovements of gold and other financial assets

Simple item page
dc.contributor.authorPoshakwale, Sunil S.
dc.contributor.authorMandal, Anandadeep
dc.date.accessioned2016-09-23T14:28:40Z
dc.date.available2016-09-23T14:28:40Z
dc.date.issued2016-08-18
dc.description.abstractUsing conditional time-varying copula models, we characterize the dependence structure of return comovements of gold and other financial assets (stocks, bonds, real estate and oil) during economic expansion and contraction regimes. We also investigate which key macroeconomic and non-macroeconomic variables significantly impact the asset return comovements using a two stage Markov Switching Stochastic Volatility (MSSV) framework. Our results show that the non-macro variables have significant influence on the return comovements. We find that gold is an inappropriate hedge against interest rate changes for real-estate and oil-based portfolios, while for bond portfolios, gold offers a good hedge against inflation uncertainty. We also provide evidence that the “flight to safety” phenomenon is due to the implied volatility of the stock market, rather than the observed stock market uncertainty. Finally, we forecast the asset return comovements and examine their economic significance. We show that a dynamic MSSV model which includes the macroeconomic and non-macroeconomic variables yields superior forecast of future asset return comovements when compared with a multivariate conditional covariance model.en_UK
dc.identifier.citationPoshakwale SS, Mandal A, Determinants of asymmetric return comovements of gold and other financial assets, International Review of Financial Analysis, Volume 47, October 2016, pp. 229-242en_UK
dc.identifier.cris15181213
dc.identifier.issn1057-5219
dc.identifier.urihttp://dx.doi.org/10.1016/j.irfa.2016.08.001
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/10582
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectGolden_UK
dc.subjectAsset return comovementsen_UK
dc.subjectForecastingen_UK
dc.subjectMarkov switching stochastic volatility modelen_UK
dc.subjectDependence structureen_UK
dc.titleDeterminants of asymmetric return comovements of gold and other financial assetsen_UK
dc.typeArticleen_UK

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Determinants_of_asymmetric_return_comovements_of_gold_and_other_financial_assets_2016.pdf
Size:
904.06 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.79 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Staff publications (SoM)