Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors

Semeyutin, Artur; Downing, Gareth

doi:10.1016/j.irfa.2022.102078

Cited by 7 publications

(2 citation statements)

References 106 publications

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“…The choice between targeting the headline consumer price index or a measure of core prices in monetary policy response to commodity price shocks is also a topic in today's world [3][4][5]2]. Likewise, the behaviour of the U.S. dollar relative to major currencies in the presence of precious metals and copper prices, as well as interest rates, is of interest [6]. Global commodity price shocks have a significant impact on inflation and exchange rate movements in emerging economies.…”

Section: Introductionmentioning

confidence: 99%

Understanding Global Commodity Price Shocks on Exchange Rates and Inflation in Emerging Economies: ARDL Perspective

Boateng,

Karikari,

Fumey

et al. 2024

JEMT

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Aims: To analyze the changing relationship between commodity prices (cocoa, diesel, gold, oil, petrol) and macroeconomic factors (exchange rate and inflation) in Ghana and differentiate between long-term and short-term effects. Study Design: Quantitative Design with Time series analysis using the Autoregressive Distributed Lag (ARDL) technique. Methodology: The study utilized cointegration and Error Correction Model in econometric estimation. Time series data for commodity prices and macroeconomic factors were collected for the period 2003M01 to 2023M10. The ARDL technique was applied to differentiate between long-term and short-term effects of inflation and exchange rates. Results: The short-run and long-run results indicate a positive relationship between commodity prices and inflation and exchange rates. A 1% increase in diesel prices is associated with a 0.23% appreciation in Ghana's currency in the short run (p=0.019) and a 1.76% rise in inflation in the long run (p=0.012). Past inflation has a dominant influence on current inflation, with a 1 percentage point increase in the previous year's inflation leading to a 0.45 percentage point increase in the current inflation rate. Conclusion: Policymakers should prioritize stabilizing diesel prices, invest in storage facilities, promote alternative energy sources, strengthen domestic production and distribution of essential commodities, and adopt targeted monetary and fiscal policies to anchor inflationary expectations and address inflation inertia in Ghana.

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Section: Introductionmentioning

confidence: 99%

Understanding Global Commodity Price Shocks on Exchange Rates and Inflation in Emerging Economies: ARDL Perspective

Boateng,

Karikari,

Fumey

et al. 2024

JEMT

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show abstract

“…The initial stage of the COVID-19 pandemic in the US instantly had adverse effects on US Treasuries, international markets, and prompted investors to invest in precious metal gold (Semeyutin and Downing 2022). Retail investors' attention currently focuses on the current gold price trend and projects its future (Piccoli Pedro et al 2021).…”

Section: Introductionmentioning

confidence: 99%

Re engineering of Gold Precious Metal Production Process in Mining Companies

Wibisono¹

2023

Proceedings of the International Conference on Industrial Engineering and Operations Management

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Gold is a precious metal commodity used in many industries. Developing research institutions assess gold as a safe haven for investors during severe market pressure. In Indonesia, there are 15 gold producers, with one of the largest being PT Antam, Tbk. ("ANTAM"). The Precious Metal Processing and Refining Business Unit is part of ANTAM's operations and is responsible for gold processing and refining facilities. To respond to the growing demand for precious metal products, the Precious Metal Factory is expected to optimize its production capacity and product quality. Currently, the lack of recording and standardization, as well as the absence of digitization in the production process, results in significant loss and high cycle time. The aim of this study is to conduct a process reengineering analysis to reduce cycle time and increase production in the production of Antam's Precious Metal. This involves identifying waste in the production process using Value Stream Mapping (VSM) and optimizing the layout and facilities to meet the production capacity of Antam's Precious Metal

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Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

Zhang,

Chen,

Bouri

2024

Journal of Futures Markets

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This paper examines the co‐jump transmission in 20 commodity futures returns in the United States using co‐jump network models. Specifically, it reveals co‐jumping behavior in both static and time‐varying settings, considering the overall commodity markets and various commodity groups separately, which helps us understand the dynamic changes in co‐jump dependencies at the overall and sector levels. The main results reveal that co‐jump heterogeneity exists among commodities but is generally more apparent within each commodity group, and co‐jumps vary over time. Gold exerts the strongest influence, with many commodity futures being influenced by the jumps behavior in gold returns. During the COVID‐19 outbreak and the Russia–Ukraine war, the energy group ranks highest in terms of co‐jump network centrality. Our empirical analysis highlights the portfolio performance and risk reduction, and an additional examination shows that centrality information from the co‐jump network contains a highly and statistically forecasting power for US stock market volatility.

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Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors

Cited by 7 publications

References 106 publications

Understanding Global Commodity Price Shocks on Exchange Rates and Inflation in Emerging Economies: ARDL Perspective

Understanding Global Commodity Price Shocks on Exchange Rates and Inflation in Emerging Economies: ARDL Perspective

Re engineering of Gold Precious Metal Production Process in Mining Companies

Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

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