%0 Journal Article %T Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data %+ Institut de Planétologie et d'Astrophysique de Grenoble (IPAG) %A Boubaker, Heni %A Cunado, Juncal %A Gil-Alana, Luis A. %A Gupta, Rangan %< avec comité de lecture %J Physica A: Statistical Mechanics and its Applications %V 540 %8 2020 %D 2020 %Z 2020PhyA..54023093B %R 10.1016/j.physa.2019.123093 %K C22 %K Q02 %Z Sciences of the Universe [physics]Journal articles %X Using annual data spanning the period of 1258-2018, we test the safe haven characteristic of gold in the wake of global crises. We find that, when we allow for regime-switching to capture nonlinearity and structural breaks, gold serves as a strong hedge against crises, especially during the bullish regime of the market, and in particular from the post-World War I period, as suggested by a time-varying model. In comparison, silver, however, does not seem to possess the safe haven property over the historical period of 1688-2018. Finally, we also find that global crises can accurately predict real gold returns over a long-span (1302-2018) out-of-sample period. %G English %L insu-03705220 %U https://insu.hal.science/insu-03705220 %~ INSU %~ METEO %~ UNIV-SAVOIE %~ UGA %~ CNRS %~ CNES %~ OSUG %~ IPAG %~ INRAE %~ UGA-EPE %~ RESEAU-EAU