The role of uncertainty measures on the returns of gold

By utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are consistent across different frequency bands in short, medium, and long terms. •We investigate the role of uncertainty measures on return and volatility of Gold.•We use various uncertainty and risks indices.•We utilize Bayesian Graphical Structural Vector Autoregression model.•Geopolitical risks indices and the U.S. real effective exchange rate significantly affect Gold returns.•The results are also consistent across different frequency bands in different periods.