The Macroeconomic Determinants of Volatility in Precious Metals Markets
23 Pages Posted: 20 Jun 2008
Date Written: June 20, 2008
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: Suggested Citation