How does economic policy uncertainty drive gold–stock correlations? Evidence from the UK

Autor:	Bing Zhang, Ruzhao Gao
Rok vydání:	2016
Předmět:	Economics and Econometrics 050208 finance Flight-to-quality Economic policy 0502 economics and business 05 social sciences Financial crisis Gold as an investment Economics Stock market 050207 economics Stock (geology)
Zdroj:	Applied Economics. 48:3081-3087
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036846.2015.1133903
Popis:	In this article, we investigate the effects of economic policy uncertainty (EPU) on correlations between the UK stock market and gold market. We find that less certain economic policies result in lower correlations, while more certain economic policies result in higher correlations. The correlations are symmetric and show no structural breaks caused by the recent financial crisis. The recent financial crisis has not changed EPU effects on the correlations. The effects of one positive one-standard-deviation shock of the logarithmic change rate of the EPU on the correlations last approximately 19 months.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f426f3d35cb12eebce6e6cd679efe28a https://doi.org/10.1080/00036846.2015.1133903 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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