Precious metal prices: a tale of four US recessions

IF 2.3 Q2 BUSINESS, FINANCE Studies in Economics and Finance Pub Date : 2024-03-21 DOI:10.1108/sef-09-2023-0550

Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana, Fernando Perez de Gracia

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Abstract

Purpose

The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.

Design/methodology/approach

Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices.

Findings

The empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era.

Originality/value

Two are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.

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贵金属价格：美国四次经济衰退的故事

设计/方法/途径本文利用 1990 年 7 月 2 日至 2022 年 3 月 21 日期间黄金、钯金、铂金和白银的每日价格数据以及 NBER（2022 年）提供的美国商业周期日期，采用分数积分法检验贵金属价格的持续程度。研究结果实证分析表明，黄金与其他贵金属（钯金、铂金和白银）相比，在后大流行病新时代作为对冲市场不确定性的工具的地位始终突出。首先，作者为有关贵金属价格模型的商品市场和金融文献做出了贡献。其次，作者还为有关商品市场和商业周期的文献做出了贡献，特别是在经济衰退时期。

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来源期刊

Studies in Economics and Finance BUSINESS, FINANCE-

CiteScore

4.30

自引率

10.50%

发文量

期刊介绍： Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.