The macroeconomic determinants of volatility in precious metals markets

Jonathan A. Batten*, Cetin Ciner, Brian M. Lucey

*Corresponding author for this work

Research output: Contribution to journalArticle

168 Citations (Scopus)

Abstract

This paper models the monthly price volatilities of four precious metals (gold, silver, platinum and palladium prices) and investigates the macroeconomic determinants (business cycle, monetary environment and financial market sentiment) of these volatilities. Gold volatility is shown to be explained by monetary variables, but this is not true for silver. Overall, there is limited evidence that the same macroeconomic factors jointly influence the volatility processes of the four precious metal price series, although there is evidence of volatility feedback between the precious metals. These results are consistent with the view that precious metals are too distinct to be considered a single asset class, or represented by a single index. This finding is of importance for portfolio managers and investors.

Original languageEnglish
Pages (from-to)65-71
Number of pages7
JournalResources Policy
Volume35
Issue number2
DOIs
Publication statusPublished - Jun 2010

Keywords

  • Commodity prices
  • Gold
  • Macroeconomic factors
  • Silver
  • Volatility

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