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A macroeconomic viewpoint using a structural VAR analysis of silver price behaviour

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  • Z. Robinson

    (University of South Africa)

Abstract

This article investigates silver price as a fluctuating commodity price since the financial crisis of 2007–2009. In this regard, a structural vector autoregression (VAR) was applied to observe the sensitivity of the silver price and future pricing due to changes in macroeconomic variables and to review changes in macroeconomic variables due to changes in the silver price. The main results show that the silver price is susceptible to changes in the gold price, increasing sideways. A shock to OECD GDP caused the silver price to increase which makes logical sense, thus showing a positive correlation between output and the silver price. A shock to the oil price caused the silver price to spike over the short term, then move sideways over the long term. A shock to the US Federal funds rate caused the silver price to dip over the short term, then increase slightly over the medium and move sideways over the long term, while a shock to the real effective exchange rate of the USA caused the silver price to increase sideways. The article sheds some light on the reactive status of the silver price to macroeconomic variables and its influence as a safe haven commodity.

Suggested Citation

  • Z. Robinson, 2024. "A macroeconomic viewpoint using a structural VAR analysis of silver price behaviour," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 37(1), pages 15-23, March.
    • Handle: RePEc:spr:minecn:v:37:y:2024:i:1:d:10.1007_s13563-023-00386-y
    DOI: 10.1007/s13563-023-00386-y
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    References listed on IDEAS

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    1. Joëts, Marc & Mignon, Valérie & Razafindrabe, Tovonony, 2017. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 313-326.
    2. Amare Wubishet Ayele & Emmanuel Gabreyohannes & Hayimro Edmealem, 2020. "Generalized Autoregressive Conditional Heteroskedastic Model to Examine Silver Price Volatility and Its Macroeconomic Determinant in Ethiopia Market," Journal of Probability and Statistics, Hindawi, vol. 2020, pages 1-10, May.
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    7. Joëts, Marc & Mignon, Valérie & Razafindrabe, Tovonony, 2017. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 313-326.
    8. Zurika Robinson, 2019. "Revisiting gold price behaviour: a structural VAR," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 32(3), pages 365-372, November.
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    Keywords

    Silver; Gold; Oil; Commodity prices;
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