Time-varying linkages among gold, stocks, bonds and real estate

•Time-varying linkages among gold and major asset classes are explored.•Gold is long-run integrated with major asset classes during the pre-crisis (1985–2007) period.•Gold does not serve as a hedge over the pre-crisis period.•Gold is minimally affected by shocks to key economic variables during the...

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Bibliographic Details
Published in:The Quarterly review of economics and finance 2020-08, Vol.77, p.165-185
Main Author: Yunus, Nafeesa
Format: Article
Language:English
Subjects:
Analysis
Bond market
Business schools
Cross-asset-market linkage
Financial econometrics
Financial markets
Gold
Hedge
Hedging (Finance)
Investment decisions
Portfolio choice
Real estate market
Real property
Safe haven
Stock market
Stocks
Treasury securities
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Summary:•Time-varying linkages among gold and major asset classes are explored.•Gold is long-run integrated with major asset classes during the pre-crisis (1985–2007) period.•Gold does not serve as a hedge over the pre-crisis period.•Gold is minimally affected by shocks to key economic variables during the crisis (2007–2009).•Gold serves as a weak safe haven. This study explores the time-varying linkages among gold, stocks (large-cap, mid-cap and small-cap), bonds (corporate, T-Bond and T-Bill), and real estate, in order to evaluate the hedging and safe haven properties of gold under differing market conditions. Long-run results indicate that gold is integrated with each asset class during the pre-crisis (1985–2007) period indicating that it does not serve as a hedge during tranquil regimes. Short-run analysis of the crisis only (2007–2009) period suggest that gold is minimally affected by shocks from key economic variables indicating that gold acts as a weak safe haven. However, the response of gold to shocks from key economic variables does not contradict the reaction of other variables to the same shocks indicating that gold does not serve as a strong safe haven during periods marked by high volatility.
ISSN:1062-9769
1878-4259
DOI:10.1016/j.qref.2020.01.015