Gold as a financial instrument

This paper explores the effectiveness of gold as a hedging and safe haven instrument for variety market risks. Rather than confining analysis to specific countries, we treat global asset apply novel Phillips, Shi Yu (2015a) (2015b) methodology identify extreme price movements. method accounts both level speed changes in dynamics that better characterises periods abnormally high We uncover properties European sovereign debt crisis, stock crash, oil inflationary pressures. also show exhibits when investors are faced with currency, debt, market, inflation Finally, demonstrate was weak during 2020 Covid-19 highlight importance accounting levels identification abnormal risk periods.