Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach

Vaneet Bhatia, Debojyoti Das, Aviral Kumar Tiwari, Muhammad Shahbaz, Haslifah M. Hasim

Research output: Contribution to journalArticle

15 Citations (Scopus)
8 Downloads (Pure)

Abstract

Using a quantile causality approach, we examine the causal relationship among the spot prices of precious metals (gold, silver, platinum and palladium) through mean and variance. This methodology also allows investigation of the causality among precious metals during recessions, booms and normal market states. Employing daily spot price data from April 2000 to July 2016 we found evidence of bi-directional causality in mean and variance among the prices of precious metals. Results indicate a strong causality for the middle quantiles (normal time periods). Robustness of results is also examined by employing weekly spot price data. Overall our results have significant implications for policy makers, portfolio managers and investors.

Original languageEnglish
Pages (from-to)244-252
Number of pages9
JournalResources Policy
Volume55
Early online date23 Dec 2017
DOIs
Publication statusPublished - Mar 2018

Keywords

  • Causality-in-quantiles
  • Gold
  • Palladium
  • Platinum
  • Precious metals
  • Silver

ASJC Scopus subject areas

  • Sociology and Political Science
  • Economics and Econometrics
  • Management, Monitoring, Policy and Law
  • Law

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