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The study examines the relationship between precious metal returns (gold and silver) and exchange rate returns for 6 countries (CHF/USD, CNY/USD, PLN/USD, INR/USD, AED/USD, MXN/USD) from 2006 to 2012. It uses the GARCH-Copula and FIGARCH-Copula approaches to analyze the interdependence structure, correlation of parameters, and tail dependence of the returns. Based on the Akaike Information Criterion (AIC), the FIGARCH-Copula approach provided better results for estimating the copula parameters. The study tested 4 different copula models: Student’s t, Clayton, Symmetrized Joe-Clayton, and Frank. The findings were mixed regarding gold and silver as hedging tools against exchange rates. However, the study found strong evidence that silver can act as safe haven against exchange rate fluctuations. The implications of these findings are significant for a country’s trade, portfolio management, monetary authorities, and various financial activities.

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Effectiveness of Gold and Silver as Hedge or Safe Haven Against US Dollar

  • 章节

  • 发表日期：

    2025年

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  • Maham Fatima,
  • Muhammad Naeem,
  • Nassor Al-Jahwari,
  • Joseph Mani

摘要

The study examines the relationship between precious metal returns (gold and silver) and exchange rate returns for 6 countries (CHF/USD, CNY/USD, PLN/USD, INR/USD, AED/USD, MXN/USD) from 2006 to 2012. It uses the GARCH-Copula and FIGARCH-Copula approaches to analyze the interdependence structure, correlation of parameters, and tail dependence of the returns. Based on the Akaike Information Criterion (AIC), the FIGARCH-Copula approach provided better results for estimating the copula parameters. The study tested 4 different copula models: Student’s t, Clayton, Symmetrized Joe-Clayton, and Frank. The findings were mixed regarding gold and silver as hedging tools against exchange rates. However, the study found strong evidence that silver can act as safe haven against exchange rate fluctuations. The implications of these findings are significant for a country’s trade, portfolio management, monetary authorities, and various financial activities.