Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks

This paper attempts to offer a careful and robust analysis of the hedging potential of gold against oil shocks. This objective is achieved by using the new datasets for oil shocks constructed by Baumeister and Hamilton (2019) and employing alternative techniques for robustness. The various empirical...

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Bibliographic Details
Published in:Resources policy 2020-06, Vol.66, p.101606, Article 101606
Main Authors: Salisu, Afees A., Adediran, Idris
Format: Article
Language:English
Subjects:
Datasets
Disaggregated data
Empirical analysis
Gold
Hedging
Oil shocks
Petroleum
Robustness
Structural breaks
Threshold effects
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Summary:This paper attempts to offer a careful and robust analysis of the hedging potential of gold against oil shocks. This objective is achieved by using the new datasets for oil shocks constructed by Baumeister and Hamilton (2019) and employing alternative techniques for robustness. The various empirical analyses rendered in this study do not seem to favour the use of gold as a hedge against oil shocks regardless of the nature of oil shock and empirical technique used. •The hedging potential of gold against oil shocks is examined.•The new datasets for oil shocks by Baumeister and Hamilton (2019) are utilized.•The analyses account for the role structural breaks, time-variation and macro variables.•The results do not favour the use of gold as a hedge against oil shocks.•The conclusion is robust to alternative estimation techniques, macro variables and data frequency.
ISSN:0301-4207
1873-7641
DOI:10.1016/j.resourpol.2020.101606