Is gold a safe haven for exchange rate risks? An empirical study of major currency countries

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2022-03-01 DOI:10.1016/j.mulfin.2021.100705

Kuan-Min Wang , Yuan-Ming Lee

引用次数: 17

Abstract

This study uses a TVP-VAR model to test whether gold is a safe haven for exchange rate risks. The five major world currencies are examined: the Chinese renminbi, euro, British pound, Japanese yen, and U.S. dollar. The empirical results show that (1) gold cannot hedge currency depreciation in the long run; (2) gold can hedge currency depreciation dynamic risk in the short run; (3) gold can act as a safe haven to hedge dynamic risk for the euro, dollar, and pound in the short run, but not for the renminbi and yen; and (4) the yen tends to appreciate significantly when international risks escalate, thus, it can be regarded as a safe haven currency.

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黄金是汇率风险的避风港吗?主要货币国家的实证研究

本研究采用tpv - var模型检验黄金是否为汇率风险的避风港。研究了五种主要的世界货币:人民币、欧元、英镑、日元和美元。实证结果表明:(1)长期来看，黄金不能对冲货币贬值;(2)短期内黄金可以对冲货币贬值动态风险;(3)短期内，黄金可以作为避险工具对冲欧元、美元和英镑的动态风险，但不能对冲人民币和日元的动态风险;(4)当国际风险升级时，日元往往会显著升值，因此日元可以被视为避险货币。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.

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