Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees

Pierdzioch Christian; Risse Marian; Rohloff Sebastian

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Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees

机译：贵金属是否可以对冲汇率波动？使用贝叶斯可加回归树的经验探索

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We use Bayesian additive regression trees to reexamine whether investments in precious metals are a hedge against exchange-rate movements. We quantify the relative importance of several major exchange rates, and we study how the marginal effects differ across times of appreciations/depreciations and across times of small/large exchange-rate fluctuations. Results show that investments in gold and silver are strong hedges against depreciations of major exchange rates. The hedging properties of palladium and platinum are mainly confined to the Australian dollar and Canadian dollar. We also study whether precious metals investments are a safe-haven in times of large exchange-rate movements. (C) 2016 Elsevier Inc. All rights reserved.

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来源
《The North American journal of economics and finance》 |2016年第11期|27-38|共12页
作者
Pierdzioch Christian; Risse Marian; Rohloff Sebastian;
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作者单位

Helmut Schmidt Univ, Dept Econ, Holstenhofweg 85,POB 700822, D-22008 Hamburg, Germany;

Helmut Schmidt Univ, Dept Econ, Holstenhofweg 85,POB 700822, D-22008 Hamburg, Germany;

Helmut Schmidt Univ, Dept Econ, Holstenhofweg 85,POB 700822, D-22008 Hamburg, Germany;

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原文格式 PDF
正文语种 eng
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关键词
Precious metals; Exchange-rate movements; BART; Hedging; Safe haven;

机译：贵金属;汇率变动;BART;对冲;避险;

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Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees

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