Revista Egitania Sciencia - Volume 14 | ARTICLE

Title: GOLD AS A HEDGE AGAINST THE EURO-DOLLAR EXCHANGE RATE

Author: Júlio Lobão * e Juliana Teixeira
* Júlio Lobão. Professor Auxiliar na Faculdade de Economia, Universidade Porto. Mestre em Finanças
Publication: Revista Egitania Sciencia - Volume 14

Abstract:
In this article we investigate the role of gold as hedge of the euro-dollar exchange rate during the period 1999-2011. For this, it was used an EGARCH (2,1,1) model applied to daily data. The results show that gold has served as an useful hedge against the exchange rate risk of the investments in dollardenominated assets carried out by the inhabitants of the euro-zone. During the period of the sample, gold was inelastic with respect to the euro-dollar exchange rate both in the short-run and in the long-run.


Keywords: exchange rate, gold, hedge





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