Mixed-frequency drivers of precious metal prices
| Authors | |
|---|---|
| Year of publication | 2017 |
| Type | Article in Periodical |
| Magazine / Source | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| MU Faculty or unit | |
| Citation | |
| Web | https://acta.mendelu.cz/65/6/2007/ |
| Doi | http://dx.doi.org/10.11118/actaun201765062007 |
| Field | Management and administrative |
| Keywords | Commodities; Drivers; Financial markets; MIDAS; Precious metals |
| Attached files | |
| Description | Lack of intrinsic value, hybrid nature of commodities and recent financialization of commodity markets make of understanding precious metals price moves complicated. Predicting future development of precious metals market can be more feasible if we discover what drives these markets and describe nature of the drivers. The aim of the paper is to explain metal price movements by assessing an impact of multiple economic and financial factors. Based on the literature review we study 8 possible macroeconomic and financial drivers. The data are collected from Bloomberg. We use mixed-data-sampling methodology that enables me to study drivers of various frequencies (daily and monthly) simultaneously in a single model. Results show that the interest rate, the exchange rate, stock levels, stock index returns and crude oil returns are generally significant to drive precious metal markets. The stock index has the most significant impact on the metals returns that is negative. Furthermore, the results divide precious metals into two groups with gold and silver on the one hand and platinum and palladium on the other. The first group is worse explained by considered drivers. Moreover, the interest rate does not have any impact on the price development of gold and silver and crude oil returns influence the pair negatively, contrary to the second pair of platinum and palladium. |
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