The Gold Price in Times of Crisis

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dc.contributor.authorBialkowski, J.
dc.contributor.authorBohl, M.T.
dc.contributor.authorStephan, P.M.
dc.contributor.authorWisniewski, T.P.
dc.date.accessioned2016-07-17T22:08:54Z
dc.date.available2016-07-17T22:08:54Z
dc.date.issued2014en
dc.description.abstractMotivated by the recent gold price boom, this paper investigates whether rapidly growing investment activities have caused a new asset price bubble. Drawing on gold's role as dollar hedge, inflation hedge, portfolio diversifier, and safe haven, we calculate fundamentally justified returns, approximate gold's fundamental value, and apply a Markov regime-switching Augmented Dickey-Fuller (ADF) test which has substantial power for detecting explosive behavior. Although our results are sensitive to the specification of the fundamental value, we show that a model accounting for the current European sovereign debt crisis accurately tracks the gold price observed in the market.en
dc.identifier.citationBialkowski J. Bohl M.T., Stephan P.M, Wisniewski T. (2014) The Gold Price in Times of Crisis. Nashville, USA: Financial Management Association, Annual Meeting, 15-18 Oct 2014.en
dc.identifier.urihttp://hdl.handle.net/10092/12489
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651
dc.subject.anzsrcFields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economicsen
dc.subject.anzsrcField of Research::14 - Economics::1402 - Applied Economics::140210 - International Economics and International Financeen
dc.titleThe Gold Price in Times of Crisisen
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