Markets: A Rigorous Course

M12 · Problem 14 ★★

GPR regression design

Design a regression to test whether geopolitical threats move Brent and gold more than acts, using daily GPRT, GPRA and returns from 1990 to 2026. Specify: the dependent and independent variables, the timing alignment, the controls, the standard errors, and how you would deal with the 2022 and 2026 regime changes in gold's response. State the result you expect if the "buy the invasion" hypothesis is true.

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