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Regime Dynamics of International Precious Metal Markets

Author

Listed:
  • Ayben Koy

    (Istanbul Commerce University)

  • Güldenur Çetin

    (Istanbul Commerce University)

  • İhsan Ersan

    (Istanbul University)

Abstract

The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using multivariate markov switching vector autoregressive models (mms-var). The observation period is between 02 january 2002 and 28 march 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.

Suggested Citation

  • Ayben Koy & Güldenur Çetin & İhsan Ersan, 2017. "Regime Dynamics of International Precious Metal Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 32(107), pages 26-40, April.
    • Handle: RePEc:acc:malfin:v:32:y:2017:i:107:p:26-40
    DOI: https://doi.org/10.33203/mfy.307172
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    References listed on IDEAS

    as
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    3. Ayben KOY & Güldenur ÇETÝN, 2016. "Metal Vadeli Ýþlem Piyasalarý ve Doðrusal Olmayan Dinamikleri," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 4(4), pages 165-176.
    4. Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Post-Print hal-01474252, HAL.
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    6. Hans-Martin Krolzig, 2001. "Markov-Switching Procedures for Dating the Euro-Zone Business Cycle," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 339-351.
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    9. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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