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    Determinants of asymmetric return comovements of gold and other financial assets

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    Authors
    Poshakwale, Sunil S. cc
    Mandal, Anandadeep
    Affiliation
    Cranfield University
    University of Derby
    Issue Date
    2016-10
    
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    Abstract
    Using 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.
    Citation
    Poshakwale, S. and Mandal, A. (2016) 'Determinants of asymmetric return comovements of gold and other financial assets', International Review of Financial Analysis, 47:229.
    Publisher
    Elsevier
    Journal
    International Review of Financial Analysis
    URI
    http://hdl.handle.net/10545/621531
    DOI
    10.1016/j.irfa.2016.08.001
    Additional Links
    http://linkinghub.elsevier.com/retrieve/pii/S1057521916301181
    Type
    Article
    Language
    en
    ISSN
    10575219
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.irfa.2016.08.001
    Scopus Count
    Collections
    University of Derby Online (UDOL)

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