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The Macroeconomic Determinants of Volatility in Precious Metals Markets

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  • Jonathan A. Batten, Cetin Ciner and Brian M. Lucey

Abstract

We investigate key macroeconomic factors that impact the price returns of precious metals markets. The markets investigated were gold, silver, platinum and palladium; whereas the macroeconomic factors accommodated business cycle, monetary environment and financial market sentiment factors. The key findings present limited evidence that the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals. This finding lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index; a finding of considerable importance for portfolio managers and investors.

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Bibliographic Info

Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp255.

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Date of creation: 20 Jun 2008
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Handle: RePEc:iis:dispap:iiisdp255

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  1. Sambit Bhattacharyya & Jeffrey G. Williamson, 2009. "Commodity Price Shocks and the Australian Economy since Federation," NBER Working Papers 14694, National Bureau of Economic Research, Inc.
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  7. Fernandez, Viviana, 2008. "The war on terror and its impact on the long-term volatility of financial markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 1-26.
  8. Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.
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  17. Christopher L. Gilbert, 2008. "Commodity Speculation and Commodity Investment," Department of Economics Working Papers 0820, Department of Economics, University of Trento, Italia.
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Citations

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Cited by:
  1. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen, 2013. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," Working Papers hal-00798033, HAL.
  2. CARPANTIER, Jean - François, 2010. "Commodities inventory effect," CORE Discussion Papers 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  4. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," CORE Discussion Papers 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen, 2014. "World gold prices and stock returns in China: insights for hedging and diversification strategies," Working Papers 2014-110, Department of Research, Ipag Business School.
  6. David M Gomez & Guillermo J Ortega & Benno Torgler & German Debat, 2011. "Co-movements in commodity prices: a note based on network analysis," School of Economics and Finance Discussion Papers and Working Papers Series 274, School of Economics and Finance, Queensland University of Technology.
  7. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
  8. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
  9. Mutafoglu, Takvor H. & Tokat, Ekin & Tokat, Hakki A., 2012. "Forecasting precious metal price movements using trader positions," Resources Policy, Elsevier, vol. 37(3), pages 273-280.
  10. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
  11. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
  12. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.

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