Gold As an Exchange Rate Hedge: Empirical Study in Malaysia
2013 IEEE Symposium on Business, Engineering and Industrial Applications, ISBEIA 2013 22 - 24 September 2013, Kuching Sarawak, Malaysia
4 Pages Posted: 26 Oct 2016
Date Written: September 22-24, 2013
The collapse of world currencies had created most of investors and public did not want to keep currency as their reserves. They plan to possess other financial instruments such as commodities and precious metals as a substitute for currencies; and one of it is gold. Gold had been identified as a good hedge for inflation. Besides, the existence of gold as an exchange rate hedge for various currencies had been identified. Nevertheless, none of these examine gold ability as exchange rate hedge with respect to the MYR/USD. Therefore, the objective of this study is to investigate the ability of gold as a hedge in Malaysia context. The study covers 23 years period which from January 1985 to December 2012. A negative relationship between gold return and this exchange rate is indeed found in this study. Thus during the past 28 years, gold has behaved as a hedge for USD in Malaysia.
Keywords: gold; exchange rate; hedge; ARCH; volatility
JEL Classification: A00, C2, C4, C5
Suggested Citation: Suggested Citation