کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084439 1477901 2017 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Some facts on the platinum-group elements
ترجمه فارسی عنوان
برخی از حقایق در مورد عناصر گروه پلاتین
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
The platinum-group elements (PGE) include platinum, palladium, rhodium, ruthenium, iridium, and osmium. In this article, we concentrate on the dependency structure and economic determinants of PGE, silver, and gold prices. We find that the strongest relationship is between silver and gold returns at a weekly frequency (July 1992-July 2016), which display tail dependence in bearish and bullish markets. By contrast, palladium and platinum display tail dependence with silver only under bearish markets. When focusing on real prices, at an annual horizon (1930-2014) the first principal component of PGE and silver prices is positively and strongly correlated with PGE/silver world production and US PGE/silver apparent consumption. At a monthly frequency (July 1992-July 2016) in turn, the first principal components of gold, silver, and PGE are positively and strongly associated with US industrial production, South Africa manufacturing production, and the US M1 and M2 monetary aggregates; and, to a lesser extent, inversely correlated with consumer sentiment and a trade-weighted US dollar index. To our knowledge, this is the first comprehensive study on PGE dependency with respect to other precious metals, such as silver and gold, and on PGE-price drivers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 52, July 2017, Pages 333-347
نویسندگان
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