Do Precious and Industrial Metals Act as Hedges and Safe Havens for Currency Portfolios?

25 Pages Posted: 28 Sep 2017

Date Written: September 10, 2017

Abstract

This study explores whether metals act as hedges and safe havens for currency investing portfolios. Three widely used currency investment strategies: carry, momentum and value are adopted. The empirical results argue that gold and silver do exhibit hedge and safe haven properties for all three strategies. Silver works as a strong hedge during extreme market conditions. However, these hedge and safe haven properties became weaker after the year 2000. We also find that industrial metals do not work as either hedges or safe havens for carry portfolios.

Keywords: Metals, Currency, Carry Trade, Hedge, Safe Haven

JEL Classification: F31, G10, G11

Suggested Citation

Sakemoto, Ryuta, Do Precious and Industrial Metals Act as Hedges and Safe Havens for Currency Portfolios? (September 10, 2017). Available at SSRN: https://ssrn.com/abstract=3043697 or http://dx.doi.org/10.2139/ssrn.3043697

Ryuta Sakemoto (Contact Author)

Keio University ( email )

2-15-45 Mita
Minato-ku
Tokyo, 108-8345
Japan

YJFX,Inc ( email )

Kioi Tower 23F, Tokyo Garden Terrace Kioicho
1-3 Kioicho, Chiyoda-ku
Tokyo
Japan

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