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Precious metal prices: a tale of four US recessions

Author

Listed:
  • Pablo Agnese
  • Pedro Garcia del Barrio
  • Luis Alberiko Gil-Alana
  • Fernando Perez de Gracia

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.

Suggested Citation

  • Pablo Agnese & Pedro Garcia del Barrio & Luis Alberiko Gil-Alana & Fernando Perez de Gracia, 2024. "Precious metal prices: a tale of four US recessions," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 41(5), pages 1012-1022, March.
    • Handle: RePEc:eme:sefpps:sef-09-2023-0550
    DOI: 10.1108/SEF-09-2023-0550
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    References listed on IDEAS

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    8. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
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    More about this item

    Keywords

    Precious metal prices; US economic recessions; Persistence; COVID-19; F10; G10; G11; G15;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F10 - International Economics - - Trade - - - General

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