Understanding the Gold-Inflation Nexus in Malaysia: Hedge and Safe Haven Perspectives

• Main Authors: Mohd Fahmi Ghazali, Nurul Fasyah Mohd Ussdek, Hooi Hooi Lean, Ahmad Monir Abdullah, Anath Rau Krishnan
• Format: Article
• Language: English; English
• Published: Universiti Malaysia Sarawak 2022
• Subjects: HB1-3840 Economic theory. Demography
• Online Access: https://eprints.ums.edu.my/id/eprint/33359/1/Understanding%20the%20Gold-Inflation%20Nexusi%20in%20Malaysia.pdf; https://eprints.ums.edu.my/id/eprint/33359/2/Understanding%20the%20Gold-Inflation%20Nexusi%20in%20Malaysia1.pdf; https://eprints.ums.edu.my/id/eprint/33359/; https://publisher.unimas.my/ojs/index.php/IJBS/article/view/4613; https://doi.org/10.33736/ijbs.4613.2022

The main objective of this study is to examine the roles of gold as a hedge or a safe haven against inflation in Malaysia. We propose the standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. We fou...