我校英国威廉希尔公司程胜老师在T1级别期刊——《Resources Policy》上发表题为“Can precious metals hedge geopolitical risk? Fresh sight using wavelet coherence analysis”。论文第一作者程胜为英国威廉希尔公司教授，博士生导师。

Abstract / 摘要：

Based on wavelet coherence analysis, this paper explores whether precious metals can be used to hedge geopolitical risk (GPR) and whether there is an asymmetry in the hedging effect when GPR rises or falls in time and frequency domains. In addition, we obtain the lead-lag relationship between precious metals and GPR under different time-frequency effects. The main findings are summarized as follows. First, gold and silver are good assets to hedge against GPR in the short and medium term. Second, the relationship between GPR and precious metals shows a significant asymmetry when GPR rises and falls. Third, all four precious metals can hedge both GPR and the negative change of GPR in the medium term. Finally, it is worth noting that both gold and silver are leaders in GPR changes. These new findings in this paper provide an essential reference for investors and policymakers from different time scale perspectives.

论文信息;

Title/题目:

Can precious metals hedge geopolitical risk? Fresh sight using wavelet coherence analysis

Authors/作者:

Cheng Sheng;Zhang Zongyou;Cao Yan

Keywords /关键词

Precious metals;Geopolitical risk;Wavelet coherence;Hedge;Asymmetry

DOI: 10.1016/J.RESOURPOL.2022.102972

全文链接：https://www.sciencedirect.com/science/article/pii/S0301420722004159?via%3Dihub