The Macroeconomic Determinants of Volatility in Precious Metals Markets

23 Pages Posted: 20 Jun 2008

See all articles by Jonathan A. Batten

Jonathan A. Batten

Universiti Utara Malaysia

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Date Written: June 20, 2008

Abstract

We investigate key macroeconomic factors that impact the price returns of precious metals markets over a 20 year period. The markets investigated are 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.

Keywords: Commodities, Gold, Macroeconomic factors, Silver, Volatility, conditional

JEL Classification: C32, G10, Q40

Suggested Citation

Batten, Jonathan A. and Ciner, Cetin and Lucey, Brian M., The Macroeconomic Determinants of Volatility in Precious Metals Markets (June 20, 2008). Available at SSRN: https://ssrn.com/abstract=1148741 or http://dx.doi.org/10.2139/ssrn.1148741

Jonathan A. Batten

Universiti Utara Malaysia ( email )

School of Economics, Finance and Banking
Sintok, Kedah 06010
Malaysia

Cetin Ciner

University of North Carolina at Wilmington ( email )

Wilmington, NC 28403
United States

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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