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Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model
16 references·4 citing·39 second hop
Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model (2016)Is gold an inflation-hedge? Evidence from…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Cointegration and Threshold Adjustment (2001)Cointegration and Threshold A…State-Space Models with Regime Switching (1999)State-Space Models with Regim…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Asset returns and inflation (1977)Asset returns and inflationStructural analysis and forecast of gold price returns (2021)Structural analysis and forec…The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets (2020)The hedging effectiveness of …Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks (2020)Gold as a hedge against oil s…Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in- quantiles approaches (2018)Does gold act as a hedge agai…Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Bounds testing approaches to the analysis of level relationships (2001)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
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  • 1977Asset returns and inflation2,701 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
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  • 1992Canonical Cointegrating Regressions1,383 cited
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  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited

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  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
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    • 2018Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in- quantiles approaches58 cited
    • 2020Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks58 cited
    • 2020The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets58 cited
    • 2021Structural analysis and forecast of gold price returns57 cited