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Regime Dynamics of International Precious Metal Markets

Author

Listed:
  • Ayben Koy

    (Istanbul Commerce University)

  • Güldenur Çetin

    (Istanbul Commerce University)

  • İhsan Ersan

    (Istanbul University)

Abstract

The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using multivariate markov switching vector autoregressive models (mms-var). The observation period is between 02 january 2002 and 28 march 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.

Suggested Citation

  • Ayben Koy & Güldenur Çetin & İhsan Ersan, 2017. "Regime Dynamics of International Precious Metal Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 32(107), pages 26-40, April.
    • Handle: RePEc:acc:malfin:v:32:y:2017:i:107:p:26-40
    DOI: https://doi.org/10.33203/mfy.307172
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    More about this item

    Keywords

    Precious Metals Markets; Nonlinearity; Markov Switching Vector Autoregressive Model;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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