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Metallic natural resources commodity prices volatility in the pandemic: Evidence for silver, platinum, and palladium

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  • Zhang, Yanyan
  • chang, Hsuling
  • Saliba, Chafic
  • Hasnaoui, Amir

Abstract

The current study investigates volatility in natural resource commodity prices in the case of the US. Particularly, this study focused on the rarely explained indicators of natural resources, including palladium, platinum, and silver price volatility, from February 28, 2012, to March 18, 2020. Since the Covid-19 pandemic creates havoc in the global economic system, that creates uncertainty in the natural resources market. Therefore, the period of the Covid-19 pandemic is also considered in the empirical investigation. This study uses the traditional autoregressive conditional heteroscedasticity (ARCH) approach, which reveals that the ARCH effect is valid in the mentioned variables in both the pre and post Covid-19 pandemic periods. Besides, this study also employed the threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and exponential generalized autoregressive conditional heteroscedasticity (EGARCH) models to analyze shock asymmetry. The estimated outcomes asserted that platinum and silver prices are more sensitive to negative shocks such as the Covid-19 pandemic. However, positive shocks play a more influential role in palladium price volatility. Thus, the shock asymmetry is valid for all three metallic resources. Based on the empirical findings, this study suggests implementing price ceiling policies. Besides, metallic resources hedging and the imposition of strong regulations in the financial market could help reduce volatility in natural resources.

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  • Zhang, Yanyan & chang, Hsuling & Saliba, Chafic & Hasnaoui, Amir, 2022. "Metallic natural resources commodity prices volatility in the pandemic: Evidence for silver, platinum, and palladium," Resources Policy, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003683
    DOI: 10.1016/j.resourpol.2022.102924
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