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Classify Hedge and Safe-Haven Behavior

classify_bm10.Rd

Classifies an asset’s hedge and safe-haven properties based on the coefficients estimated from the hedge_safehaven_bm10 function following the Baur and McDermott (2010) approach.

Usage

classify_bm10(res_df, tol = 1e-08)

Arguments

res_df

A data frame returned by hedge_safehaven_bm10(), containing the columns:

  • Hedge — labels for coefficient levels ("c0", "0.10", "0.05", "0.01")

  • Coefficient_Sum — estimated coefficient or cumulative hedge ratio

  • p_value — two-sided p-value for the estimate

tol

Numeric tolerance used for comparing small values to zero. Defaults to 1e-8.

Value

A character string summarizing the conclusion, e.g.:


"Selected asset is a weak hedge and safe haven for 5

Details

The function interprets the results of equations (1a)–(1c) from Baur and McDermott (2010) and determines:

  • Hedge classification:

    • Strong hedge — if \(c_0 < 0\) and significant (\(p < 0.10\))

    • Weak hedge — if \(c_0 \approx 0\) or not significant

    • Not a hedge — otherwise

  • Safe-haven classification:

    • Strong safe haven — all coefficients (\(c_0, c_1, c_2, c_3\)) are negative and significant

    • Weak safe haven — negative and significant only at one tail level (10\

    • Not a safe haven — otherwise

References

Baur, D. G., & McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking & Finance, 34(8), 1886–1898.

See also

hedge_safehaven_bm10

Examples

if (FALSE) { # \dontrun{
res <- hedge_model_results(hedgedata$SP, hedgedata$GLD)
classify_bm10(res)
} # }