Precious metal prices: a tale of four US recessions
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.
Keywords
Acknowledgements
Pedro Garcia del Barrio and Fernando Perez de Gracia gratefully acknowledge financial support by Grant P ID2020-114275GB-I00 funded by MCIN/AEI/10.13039/501100011033. The authors thank the editor, Dr Harald Kinateder, and two anonymous referees for their helpful comments and suggestions.
Funding: Ministerio de Ciencia e Innovación; Grant PID2020-114275GB-I00 funded by MCIN/AEI/10.1.
Citation
Agnese, P., Garcia del Barrio, P., Gil-Alana, L.A. and Perez de Gracia, F. (2024), "Precious metal prices: a tale of four US recessions", Studies in Economics and Finance, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/SEF-09-2023-0550
Publisher
:Emerald Publishing Limited
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