THE GOLD PRICE AND THE ECONOMIC POLICY UNCERTAINTY DYNAMICS RELATIONSHIP: THE CONTINUOUS WAVELET ANALYSIS

【Author】 Cai, Yu-Xin; Gong, Yun-Lu; Sheng, Guo-Yang

【Source】ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH

【影响因子】0.899

【Abstract】This article uses the continuous wavelet analysis to investigate lead-lag relationship between gold future markets and economic policy uncertainty in different time-frequency domains by covering a period of 1998M01-2020M02. Our findings show the positive relationship between gold future returns and economic policy uncertainty before the period of global financial crisis, while after the crisis, this relationship changed to irregular correlated in the US and UK. Furthermore, we find that gold future returns are leading economic policy uncertainty changes in the very short and short terms in US, and in the short term in UK before 2008, while after 2008, the lead-lag relationships change to ambiguous correlated, indicating the gold could be employed as a safe-haven asset hedge against uncertainty before 2008, but its role changed after 2008. Due to the COVID-19 pandemic in the world, increasingly uncertainty may change its role again, and gold's price are likely to peak in the future.

【Keywords】Gold futures; Economic policy uncertainty; Lead-lag relationship; Continuous wavelet analysis

【发表时间】2021

【收录时间】2022-01-02

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