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The unfolding COVID-19 crisis is the most recent example (Editor's note).
After the financial crises in 2008, the developed countries lowered their gold holdings while central banks of the emerging and developing countries did the opposite. One explanation would be that, due to the easy monetary policies of the advanced nations, the massive influx of money into the emerging and developing countries might have worried the recipient governments about a sudden reversal in their currencies.
Baur – Lucey (2010), Ciner et al. (2013), Hood and Malik (2013) and Aboura et al. (2016) looked at the US markets. Baur – Lucey (2010) and Baur – McDermott (2010) looked at the European markets.
Brazil, Russia, India, China.
We follow Reboredo (2013), Yang – Hamori (2014) and Reboredo – Ugolini (2015) in our approach. These papers examined the role of gold as a SHA against the developed economies stock market returns and currencies, however, we focus on the emerging market and developing economies.
The conditional distribution of Y given X variate takes the value of x can be written as follows: Fy|x(y) = C1(Fx(x), Fy(y)) where the C1 is the first partial derivative of the copula.
We use gold price in each country to calculate the return on gold.