Modelling the Relationship Between Gold Returns and Financial Risks: A Quantile Regression Approach for Egypt

نوع المستند : المقالة الأصلية

المؤلفون

1 قسم الاقتصاد - كلية التجارة - جامعة بنها

2 قسم الاقتصاد- كلية التجارة- جامعة المنوفية

3 قسم الاقتصاد - كلية التجارة - جامعة بنها - مدير برامج كلية الاقتصاد وإدارة الأعمال بجامعة بنها الأهلية

المستخلص

This article investigates the hypothesis that gold serves as a hedge and/or a safe- haven asset against financial risks associated with exchange rates, equity, oil prices, and inflation in Egypt, with its protective role depending on market conditions. The study uses semi-parametric quantile regression (QR) to model this relationship, using weekly data from 1998 to 2023. The Bai and Perron (1998) multiple breakpoints test found no structural breaks, allowing the analysis to proceed with the full sample period. Key findings include no relationship between CPI inflation and gold returns across all quantiles, possibly due to cultural factors. A negative association between the gold return and EGX30 return was found across all market states, indicating gold serves as a safe-haven in extreme market conditions. An asymmetric relationship was detected between gold returns and stock volatility, with negative correlations in lower quantiles and positive correlations in higher quantiles. A positive but weak relationship was observed between gold and crude oil returns, suggesting that the link weakens under extreme market conditions. A consistent negative relationship was observed between gold and exchange rate returns, highlighting gold's role as an alternative investment during periods of currency depreciation. These findings suggest that gold plays a significant role in hedging against stock volatility, currency risk, and extreme market conditions, and that both investors and the central bank should consider gold as a strategic tool for diversification and risk management in Egypt.

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