Are Precious Metals Hedge Against Financial and Economic Variables?: Evidence from Cointegration Tests

• 발행기관: 한국유통과학회
• 저자명: Tanzeela YAQOOB Javed IQBAL
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.1, 81~91쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.01.30

영문 초록

This paper investigates the long run hedging ability of precious metals against the risks associated with adverse conditions of economic and financial variables for Pakistan, the USA, China, and India. Monthly data of gold, silver, platinum, stock returns, exchange rate, industrial production, and inflation was collected for the selected economies. Saikkonen and Lutkepohl (2002) unit root test was employed to access the unit root properties of the data series and identify the break dates. Furthermore, this study used the Johansen cointegration test with and without structural breaks to identify the long-run relationship between metals prices and different financial and economic variables. The findings suggest that the time series under study have unit root problem at level with and without structural breaks. Without considering structural breaks, the Johansen trace test indicates that in Pakistan and China, gold, silver, and platinum hold a cointegrating relationship with macroeconomic and financial variables. For the US, gold indicates cointegration which supports the hedging ability of gold against inflation, stock, and industrial production in the long run. The results of the cointegration test after incorporating the structural breaks provide even stronger evidence of the long-run relationship of precious metals and consumer prices, exchange rate, and stock prices.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Estimation results

5. Conclusion

References

키워드

Co-Integration Structural Breaks Hedging Precious Metals Unit Root