Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach
This empirical study investigates the nature of spillovers between precious metal prices, i.e. gold and silver, stock markets and a number of macroeconomic variables for the G7 countries over the period 1981 to 2010. Through the methodological approach of the factor-augmented vector autoregressive (FAVAR) model, the empirical findings display that the price transmission across precious metal markets, stock markets and the macroeconomy is substantial. In particular, the results exemplify the role of the macroeconomic environment in explaining the behaviour of both gold and silver returns, while the performance of the stock markets does not appear to contribute as much.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 24 (2014)
Issue (Month): 10 (May)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nijman, T.E. & Swinkels, L.A.P., 2003. "Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes," Discussion Paper 2003-20, Tilburg University, Center for Economic Research.
- Xu, Xiaoqing Eleanor & Fung, Hung-Gay, 2005. "Cross-market linkages between U.S. and Japanese precious metals futures trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 107-124, April.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010.
"Precious metals-exchange rate volatility transmissions and hedging strategies,"
International Review of Economics & Finance,
Elsevier, vol. 19(4), pages 633-647, October.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CIRJE F-Series CIRJE-F-684, CIRJE, Faculty of Economics, University of Tokyo.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Research Papers EI 2009-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Fabio Panetta & Paolo Angelini & Giuseppe Grande & Aviram Levy & Roberto Perli & Pinar Yesin & Stefan Gerlach & Srichander Ramaswamy & Michela Scatigna, 2006. "The recent behaviour of financial market volatility," Questioni di Economia e Finanza (Occasional Papers) 2, Bank of Italy, Economic Research and International Relations Area.
- Dipak Ghosh & Eric Levin & Robert E Wright & The Centre for Economic Policy Research, "undated". "Gold as an Inflation Hedge?," Working Papers Series 96/10, University of Stirling, Division of Economics.
- Dipak Ghosh & Eric J. Levin & Peter Macmillan & Robert E. Wright, 2000. "Gold as an Inflation Hedge?," Discussion Paper Series, Department of Economics 200021, Department of Economics, University of St. Andrews.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Andrew C. Worthington & Mosayeb Pahlavani, 2007. "Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 259-262.
- Wang, Kuan-Min & Lee, Yuan-Ming & Thi, Thanh-Binh Nguyen, 2011. "Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model," Economic Modelling, Elsevier, vol. 28(3), pages 806-819, May.
- Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series 47_09, The Rimini Centre for Economic Analysis.
- Clinton Watkins & Michael McAleer, 2006. "Pricing of non-ferrous metals futures on the London Metal Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 853-880.
- Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
- Brian Lucey, 2010. "Lunar seasonality in precious metal returns?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 835-838.
- Hwang, Hae-shin, 2009. "Two-step estimation of a factor model in the presence of observable factors," Economics Letters, Elsevier, vol. 105(3), pages 247-249, December.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 387-422.
- Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
- Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007. "On the Statistical Identification of DSGE Models," Working Papers 324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the Statistical Identification of DSGE Models," CEPR Discussion Papers 7176, C.E.P.R. Discussion Papers.
- Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2009. "On the statistical identification of DSGE models," Open Access publications 10197/7586, School of Economics, University College Dublin.
- Brian M. Lucey & Edel Tully, 2006. "The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 47-53, January.
- Wing H. Chan & Denise Young, 2006. "Jumping hedges: An examination of movements in copper spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(2), pages 169-188, 02.
- Jeffrey A. Frankel, 2008. "The Effect of Monetary Policy on Real Commodity Prices," NBER Chapters,in: Asset Prices and Monetary Policy, pages 291-333 National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc.
- Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2010. "The macroeconomic determinants of volatility in precious metals markets," Resources Policy, Elsevier, vol. 35(2), pages 65-71, June.
- Jonathan A. Batten, Cetin Ciner and Brian M. Lucey, 2008. "The Macroeconomic Determinants of Volatility in Precious Metals Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp255, IIIS.
- Jesus Crespo Cuaresma & Andreas Breitenfellner, "undated". "Crude Oil Prices and the Euro-Dollar Exchange Rate: A Forecasting Exercise," Working Papers 2008-08, Faculty of Economics and Statistics, University of Innsbruck.
- Hammoudeh, Shawkat & Yuan, Yuan, 2008. "Metal volatility in presence of oil and interest rate shocks," Energy Economics, Elsevier, vol. 30(2), pages 606-620, March.
- Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
- Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
- Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
- Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004. "Extreme Contagion in Equity Markets," IMF Staff Papers, Palgrave Macmillan, vol. 51(2), pages 1-8.
- James Y. Yao & Jorge A Chan-Lau & Donald J Mathieson, 2002. "Extreme Contagion in Equity Markets," IMF Working Papers 02/98, International Monetary Fund.
- Christie-David, Rohan & Chaudhry, Mukesh & Koch, Timothy W., 2000. "Do macroeconomics news releases affect gold and silver prices?," Journal of Economics and Business, Elsevier, vol. 52(5), pages 405-421.
- Dhillon, Upinder S. & Lasser, Dennis J. & Watanabe, Taiji, 1997. "Volatility, information, and double versus walrasian auction pricing in US and Japanese futures markets," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 1045-1061, July.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:691-703. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.