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Abstract
This study tests gold as a hedge and safe haven asset against systemic risk in 21 emerging and developed countries from 1979 to 2012. Generalized autoregressive conditional heteroskedasticity (GARCH) dynamic conditional correlation analysis indicates that gold serves as an effective hedge against systemic risk. Gold also provides a safe haven in times of extreme market volatility and during periods of financial crises in most countries.
TOPICS: Commodities, global, statistical methods, financial crises and financial market history
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