Bialkowski, J.Bohl, M.T.Stephan, P.M.Wisniewski, T.P.2016-07-172016-07-172014Bialkowski 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.http://hdl.handle.net/10092/12489Motivated 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.enFields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economicsField of Research::14 - Economics::1402 - Applied Economics::140210 - International Economics and International Finance