Gold, silver, and the US dollar as harbingers of financial calm and distress

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dc.authorscopusid8873464300
dc.authorscopusid26653963900
dc.authorscopusid7102997673
dc.contributor.authorDibooğlu, Sel
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorGillman, Max
dc.date.accessioned2023-04-20T08:02:27Z
dc.date.available2023-04-20T08:02:27Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractIn this paper, we investigate the relationship between gold, silver, and the US dollar returns and financial stress to shed light on the circumstances where these assets serve as attractive investment vehicles and whether the assets signal financial conditions ahead. Using weekly data from 1994 to 2020 and predict-ability-in-mean, predictability-in-variance, and predictability-in-distribution, we examine the relationship between returns on gold, silver, and the US dollar and the St Louis Financial Stress Index (STLFSI). While we find no Granger predictability in the mean between gold returns and the aggregate STLFSI, there is some evidence of Granger predictability between silver and US dollar returns and financial stress. However, test results show significant bidirectional Granger predictability in variance between STLFSI and gold, silver, and US dollar returns. Predictability-in-distribution tests generally show significant bidirectional relationships between financial stress and gold, silver, and US dollar returns at the left and right tail of the distribution. We confirm the safe-haven properties of gold, silver, and the US dollar and find novel evidence that very low returns on these assets signal financial calm, and unusually high returns signal high financial stress ahead. In this sense, extreme gold, silver, and US dollar returns are harbingers of calm times or financial distress to come, acting as early financial market news providing risk guideposts for safety.(c) 2022 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
dc.identifier.doi10.1016/j.qref.2022.07.003
dc.identifier.endpage210
dc.identifier.issn1062-9769
dc.identifier.issn1878-4259
dc.identifier.scopus2-s2.0-85135362168
dc.identifier.scopusqualityQ2
dc.identifier.startpage200
dc.identifier.urihttps://doi.org/10.1016/j.qref.2022.07.003
dc.identifier.urihttps://hdl.handle.net/20.500.11776/10933
dc.identifier.volume86
dc.identifier.wosWOS:000843225100006
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier Science Inc
dc.relation.ispartofQuarterly Review of Economics and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectSafe-Haven
dc.subjectGold Returns
dc.subjectSilver Returns Us Dollar
dc.subjectFinancial Stress
dc.subjectFinancial Stability
dc.subjectSafe-Haven
dc.subjectGranger Causality
dc.subjectStock Markets
dc.subjectCrude-Oil
dc.subjectStress
dc.subjectPrice
dc.subjectTime
dc.subjectVolatility
dc.subjectGarch
dc.subjectRisk
dc.titleGold, silver, and the US dollar as harbingers of financial calm and distress
dc.typeArticle

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