Is gold a safe haven? International evidence

被引：1076

作者：

Baur, Dirk G. ^{[1
,2
]}

McDermott, Thomas K. ^{[3
,4
]}

机构：

[1] Univ Technol Sydney, Sch Finance & Econ, Broadway, NSW 2007, Australia

[2] Dublin City Univ, Sch Business, Dublin 9, Ireland

[3] Univ Dublin Trinity Coll, Sch Business, Coll Green, Dublin 2, Ireland

[4] Univ Dublin Trinity Coll, Inst Int Integrat Studies, Coll Green, Dublin 2, Ireland

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 08期

关键词：

Gold; Safe haven; Financial markets; Uncertainty; CONTAGION; DIVERSIFICATION; CRISES;

D O I：

10.1016/j.jbankfin.2009.12.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this paper is to examine the role of gold in the global financial system. We test the hypothesis that gold represents a safe haven against stocks of major emerging and developing countries. A descriptive and econometric analysis for a sample spanning a 30 year period from 1979 to 2009 shows that gold is both a hedge and a safe haven for major European stock markets and the US but not for Australia, Canada, Japan and large emerging markets such as the BRIC countries. We also distinguish between a weak and strong form of the safe haven and argue that gold may act as a stabilizing force for the financial system by reducing losses in the face of extreme negative market shocks. Looking at specific crisis periods, we find that gold was a strong safe haven for most developed markets during the peak of the recent financial crisis. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1886 / 1898

页数：13