The role of macroeconomic and geopolitical news on gold returns and volatility

Abstract

The goal of this paper is to explore the simultaneous role of macroeconomic and geopolitical news in gold returns and its associated volatility. The analysis uses sentiment scores for certain macroeconomic and geopolitical global news, along with a GARCH modelling approach. The findings document that both types of news substantially impact gold returns and their associated volatility, with geopolitical news having a stronger impact.