Nonlinear Dynamics of International Gold Prices: Conditional Heteroskedasticity or Chaos?

Huang, Xiaowei; Yu, Mengru; Ban, Chengwei

doi:10.1515/jssi-2014-0411

Cited by 1 publication

(2 citation statements)

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Section: Methodsmentioning

confidence: 99%

“…Gold AU9995 refers to gold with a purity above 99.95% (Huang, Yu, & Ban, 2014). Its spot trading has been active, and it has been the settlement for gold futures in major future exchanges in China and abroad (Huang et al, 2014). The EPU index that we employ is originally constructed by Baker, Bloom, and Davis (2016), which is a good proxy for the EPU level.…”

Section: Methodsmentioning

confidence: 99%

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The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China

2020

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In this study, we investigate the different spillover levels of economic policy uncertainty (EPU) on the oil, gold, and stock markets in China. EPU has the highest levels of the growth and volatility spillover on the gold market, and EPU transmits the lowest levels of growth and volatility spillovers to the oil market. EPU receives the highest level of return spillover from the oil market and the lowest from the gold market. However, EPU receives a higher level of the volatility spillover from the gold and stock markets. Regarding growth spillover, EPU is the net spillover receiver from the oil market and the net spillover transmitter to the gold market. Regarding volatility spillover, EPU is a main spillover receiver from all three markets. All net spillovers from EPU to the oil, gold, and stock markets are time‐varying. The recent financial crisis exerts significant effects on the net spillovers of EPU on the three markets.

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Section: Methodsmentioning

confidence: 99%