ABSTRACT
Various accounts of the recent nancial turmoil have stressed the propensity of investors to turn away from risky securities into ‘safe’ assets. is ight to safety has also taken the form of a renowned interest in gold as an asset class. In fact, it is typically argued that the price of this precious metal is uncorrelated
12.1 Introduction ......................................................................................227 12.2 e Dataset ........................................................................................230 12.3 Some Structural Evidence on Volatility Spillovers ......................232 12.4 A Look at the Tails ............................................................................236 12.5 Conclusion ........................................................................................ 240 Acknowledgements ...................................................................................... 241 References ...................................................................................................... 241
with both stock and bond prices during episodes of market crash (see, e.g. Baur and Lucey (2010) and Baur and McDermott (2010)). Gold is also identied as a ‘hedge’ against uctuations in the U.S. dollar (USD) on average (Baur and Lucey 2010).* e properties of safe asset and hedging capabilities suggest that the dollar price of gold should increase when the bilateral exchange of the U.S. dollar against other currencies depreciates.
