مقاله انگلیسی اهمیت قیمت نفت و عدم قطعیت سیاست اقتصادی برای بازده فلزات گرانبها
Abstract
Keywords
Introduction
Data and methodology
Empirical results and analyses
Conclusions and policy implications
Author statement
Acknowledgments
Appendix A. Supplementary data
References
ABSTRACT
Oil price shocks and economic policy uncertainty are the two main drivers of many macroeconomic and financial variables. In the context of commodity financialization, these two shocks are more interrelated and even have a combined effect on the precious metals market. Therefore, using the time-varying parameter vector autoregression (TVP-VAR) framework, we actively analyze the dynamic impacts of oil price shocks and economic policy uncertainty on precious metal returns using monthly data from April 1990 to April 2018. The results show that oil price shocks had positive effects on precious metal returns before the international financial crisis, while these impacts have been negative since the international financial crisis. The impacts of economic policy uncertainty on precious metal returns change over time and are positive in most cases. The effects of oil price shocks on precious metal returns are amplified by economic policy uncertainty. In the field of transmission channels of economic policy uncertainty, we find that news uncertainty and inflation uncertainty are the most significant. In addition, during a major economic crisis or emergency, we discover some evidence of overreactions in the precious metal markets.
Introduction
As an important strategic resource, precious metals are a significant factor in the developmental progress of national economies and are directly related to the normal operation of national core industries (Kang et al., 2017a; Wu et al., 2019). Precious metals are also major international financial investment commodities that influence the stability of financial markets and the global economy (Huynh, 2020). At present, the international spot precious metal market consists of spot gold, silver, platinum and palladium markets, among which spot gold is the most influential (Baruník et al., 2016) because gold, as a special commodity, is considered a tool to hedge economic policy risks and market turbulence (Hartmann et al., 2004; O’Connor et al., 2015; Raza et al., 2018). As an alternative to gold investment, silver is also favored by an increasing number of investors due to its low investment threshold; thus, it has become a new force in the field of financial investment (Jain & Ghosh, 2013; Vigne et al., 2017). In recent years, investors have begun to possess platinum and palladium as alternatives to gold (Jain & Ghosh, 2013). As safe assets, with the turmoil in the global economic situation, the hedged precious metal is widely seen as a safe haven for equity investors due to its diversification and higher returns (Dimitriou et al., 2020; Sikiru and Salisu, 2021), there has been an explosive growth in the investment demand of precious metals, causing violent fluctuations in price.