Macroeconomic factors and frequency domain causality between Gold and Silver returns in India

Pradhan, Ashis Kumar; Mishra, Bibhuti Ranjan; Tiwari, Aviral Kumar; Hammoudeh, Shawkat

doi:10.1016/j.resourpol.2020.101744

Cited by 14 publications

(5 citation statements)

References 47 publications

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“…More specific, except for the case of 6-month lags in ID-EMV, we can find that ID-EMV has larger impacts (i.e., larger θ) on the permanent volatility in crude oil markets than it does in precious metal markets, confirming the fact that crude oil is a risky asset while precious metal can be used to hedge this risk [27,48,58]. In addition, within precious metals, the impacts of ID-EMV on gold is greater than those on silver, proving that gold is easier than silver to be influenced by infectious disease epidemic, which is consistent with the conclusions in some extant research [58,59]. Similarly, in terms of crude oil futures, WTI oil is more likely to be affected by ID-EMV than Brent oil.…”

Section: Empirical Analysismentioning

confidence: 73%

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

Shang

2021

Discrete Dynamics in Nature and Society

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The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

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Section: Empirical Analysismentioning

confidence: 73%

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

Shang

2021

Discrete Dynamics in Nature and Society

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“…In India, silver is seen as a symbol of virtues of fortune and considered as a close substitute to gold. Due to silver's miniature substitutability and high similarities with gold, both precious metals pursue arbitrage and low risk spread trading properties (Pradhan et al, 2020) that are heavily used in green businesses.…”

Section: Related Literature and Hypothesis Developmentmentioning

confidence: 99%

Commodity market risks and green investments: Evidence from India

Dutta

Bouri

Dutta

et al. 2021

Journal of Cleaner Production

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“…In this study we also include the exchange rate because these commodities are denominated in USD currency a lot so it is likely to have an effect the drive of both oil and precious metals. To the best of our knowledge the previous literature focused on just the long and short relationships between gold and silver (Ciner, 2001;Pierdzioch et al, 2015;Pradhan et al, 2020) and with oil and exchange rate (Bildirici and Sonustun, 2018;Kumar, 2017;Malliaris and Malliaris, 2013). The authors focused on four precious metals (gold, silver, platinum, palladium) and oil depict a lot contradiction results of their nexus in long and short runs (Churchill et al, 2019;Jain and Ghosh, 2013;Soytas et al, 2010;Talbi et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

Precious Metals and Oil Price Dynamics

Mohamed,

Mohamed

2023

IJEEP

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The aim of this study is to examine dynamic relationship among the prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. Recent literature for precious metals (gold, silver, platinum, palladium) and oil depict a lot contradiction results of their nexus in the long and short runs. So that, there is still much to investigate and learn about their relationship between them and with the exchange rate. The monthly data span from January 1990 to October 2021 is utilized, the study applies the co-integration analysis, multivariate Granger causality test and Variance Decomposition (VDC) analysis. The result shows the evidence of a long-run equilibrium relationship but weak feedbacks in the short run. The precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the oil market. The study implies whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro.

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Macroeconomic factors and frequency domain causality between Gold and Silver returns in India

Cited by 14 publications

References 47 publications

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

Commodity market risks and green investments: Evidence from India

Precious Metals and Oil Price Dynamics

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