PT  - JOURNAL ARTICLE
AU  - Chih-Chieh (Jason) Chiu
AU  - Mitchell Ratner
TI  - Gold and Systemic Risk
AID  - 10.3905/jai.2014.17.1.079
DP  - 2014 Jun 30
TA  - The Journal of Alternative Investments
PG  - 79--86
VI  - 17
IP  - 1
4099  - https://pm-research.com/content/17/1/79.short
4100  - https://pm-research.com/content/17/1/79.full
AB  - 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