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Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach

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  • Nicholas Apergis
  • Christina Christou
  • James E. Payne

Abstract

This empirical study investigates the nature of spillovers between precious metal prices, i.e. gold and silver, stock markets and a number of macroeconomic variables for the G7 countries over the period 1981 to 2010. Through the methodological approach of the factor-augmented vector autoregressive (FAVAR) model, the empirical findings display that the price transmission across precious metal markets, stock markets and the macroeconomy is substantial. In particular, the results exemplify the role of the macroeconomic environment in explaining the behaviour of both gold and silver returns, while the performance of the stock markets does not appear to contribute as much.

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  • Nicholas Apergis & Christina Christou & James E. Payne, 2014. "Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach," Applied Financial Economics, Taylor & Francis Journals, vol. 24(10), pages 691-703, May.
  • Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:691-703
    DOI: 10.1080/09603107.2014.899668
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    Cited by:

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    15. Rana, Hafiz Muhammad Usman & O'Connor, Fergal, 2023. "Domestic macroeconomic determinants of precious metals prices in developed and emerging economies: An international analysis of the long and short run," International Review of Financial Analysis, Elsevier, vol. 89(C).
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