메뉴 건너뛰기




Volumn 35, Issue 2, 2010, Pages 65-71

The macroeconomic determinants of volatility in precious metals markets

Author keywords

Commodity prices; Gold; Macroeconomic factors; Silver; Volatility

Indexed keywords

COMMERCE; COSTS; FINANCIAL MARKETS; GOLD; INVESTMENTS; PRECIOUS METALS; SILVER;

EID: 77953024901     PISSN: 03014207     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.resourpol.2009.12.002     Document Type: Article
Times cited : (299)

References (52)
  • 1
    • 77953024883 scopus 로고    scopus 로고
    • International portfolios with commodity futures and currency forward contracts
    • Abanomey W.S., Mathur I. International portfolios with commodity futures and currency forward contracts. Journal of Investing 2001, 61-68.
    • (2001) Journal of Investing , pp. 61-68
    • Abanomey, W.S.1    Mathur, I.2
  • 2
    • 77953023344 scopus 로고    scopus 로고
    • Bank of International Settlements
    • Basle, Switzerland, June, 1-225
    • Bank of International Settlements. 2009, BIS Quarterly Review. Basle, Switzerland, June, 1-225.
    • (2009) BIS Quarterly Review
  • 5
  • 7
    • 77953024605 scopus 로고    scopus 로고
    • A practical guide to god as an investment asset, chapter 31 of Fabozzi et al
    • (ed). (2008). In: Fabozzi, Frank J., Füss, Roland, Kaiser, Dieter G., (Eds.), The Handbook of Commodity Investing. ISBN: 978-0-470-11764-4. John Wiley and Sons, New York
    • Cai, C.X., Clacher, I., Faff, R., Hillier, D., 2008. A practical guide to god as an investment asset, chapter 31 of Fabozzi et al. (ed). (2008). In: Fabozzi, Frank J., Füss, Roland, Kaiser, Dieter G., (Eds.), The Handbook of Commodity Investing. ISBN: 978-0-470-11764-4. John Wiley and Sons, New York, 986 pp.
    • (2008) , pp. 986
    • Cai, C.X.1    Clacher, I.2    Faff, R.3    Hillier, D.4
  • 8
    • 33645277839 scopus 로고    scopus 로고
    • Jumping hedges: an examination of movements in copper spot and futures markets
    • Chan Wing H., Young Denise Jumping hedges: an examination of movements in copper spot and futures markets. Journal of Futures Markets 2006, 26(2):169-188.
    • (2006) Journal of Futures Markets , vol.26 , Issue.2 , pp. 169-188
    • Chan, W.H.1    Young, D.2
  • 9
    • 84977738382 scopus 로고
    • Financial investment opportunities and the macroeconomy
    • Chen N.F.R. Financial investment opportunities and the macroeconomy. Journal of Finance 1991, 46:529-554.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.F.R.1
  • 10
    • 60749089620 scopus 로고    scopus 로고
    • Economic linkages across commodity futures: hedging and trading implications
    • Chng Michael T. Economic linkages across commodity futures: hedging and trading implications. Journal of Banking and Finance 2009, 33:958-970.
    • (2009) Journal of Banking and Finance , vol.33 , pp. 958-970
    • Chng, M.T.1
  • 12
    • 77953024328 scopus 로고    scopus 로고
    • Fundamental analysis of the world silver market
    • Fabozzi, F.J, R Füss and D.G. Kaiser, The Handbook of Commodity Investing, Hoboken, NJ, Wiley (Chapter 33)
    • Christian, J., 2008, Fundamental analysis of the world silver market. Fabozzi, F.J, R Füss and D.G. Kaiser, The Handbook of Commodity Investing, Hoboken, NJ, Wiley (Chapter 33).
    • (2008)
    • Christian, J.1
  • 13
    • 0035457550 scopus 로고    scopus 로고
    • On the long run relationship between gold and silver prices: a note
    • Ciner C. On the long run relationship between gold and silver prices: a note. Global Finance Journal 2001, 12:299-303.
    • (2001) Global Finance Journal , vol.12 , pp. 299-303
    • Ciner, C.1
  • 16
    • 33646387170 scopus 로고    scopus 로고
    • Tactical and strategic value of commodity futures
    • Erb C., Harvey C. Tactical and strategic value of commodity futures. Financial Analysts Journal 2006, 62:69-97.
    • (2006) Financial Analysts Journal , vol.62 , pp. 69-97
    • Erb, C.1    Harvey, C.2
  • 18
    • 48549113655 scopus 로고
    • Spot and forward exchange rates
    • Fama E. Spot and forward exchange rates. Journal of Monetary Economics 1984, 14:319-338.
    • (1984) Journal of Monetary Economics , vol.14 , pp. 319-338
    • Fama, E.1
  • 19
    • 37349057114 scopus 로고    scopus 로고
    • The war on terror and its impact on the long-term volatility of financial markets
    • Fernandez V. The war on terror and its impact on the long-term volatility of financial markets. International Review of Financial Analysis 2008, 17:1-26.
    • (2008) International Review of Financial Analysis , vol.17 , pp. 1-26
    • Fernandez, V.1
  • 21
    • 33846187733 scopus 로고    scopus 로고
    • Information, trading, and volatility: evidence from weather-sensitive markets
    • Fleming Jeff, Kirby Chris, Ostdiek Barbara Information, trading, and volatility: evidence from weather-sensitive markets. Journal of Finance 2006, 61(6):2899-2930.
    • (2006) Journal of Finance , vol.61 , Issue.6 , pp. 2899-2930
    • Fleming, J.1    Kirby, C.2    Ostdiek, B.3
  • 26
    • 62549083107 scopus 로고    scopus 로고
    • Commodity Speculation and Commodity Investment
    • Department of Economics Working Papers number 0820, University of Trento, Via Inama 5, 38100 Trento, Italy
    • Gilbert, C.L., 2008. Commodity Speculation and Commodity Investment. Department of Economics Working Papers number 0820, University of Trento, Via Inama 5, 38100 Trento, Italy.
    • (2008)
    • Gilbert, C.L.1
  • 29
    • 37349076280 scopus 로고    scopus 로고
    • Metal volatility in presence of oil and interest rate shocks
    • Hammoudeh Shawkat, Yuan Yuan Metal volatility in presence of oil and interest rate shocks. Energy Economics 2008, 30:606-620.
    • (2008) Energy Economics , vol.30 , pp. 606-620
    • Hammoudeh, S.1    Yuan, Y.2
  • 30
    • 84865596959 scopus 로고    scopus 로고
    • The effect of gold in a traditional portfolio
    • In: Fabozzi, F.J, R Füss and D.G. Kaiser, (Eds.), The Handbook of Commodity Investing (Chapter 32)
    • Heidorn, T., Demidova-Menzel N., 2008, The effect of gold in a traditional portfolio. In: Fabozzi, F.J, R Füss and D.G. Kaiser, (Eds.), The Handbook of Commodity Investing (Chapter 32).
    • (2008)
    • Heidorn, T.1    Demidova-Menzel, N.2
  • 31
    • 33646415647 scopus 로고    scopus 로고
    • Do precious metals shine? An investment perspective
    • Hillier D., Faff R., Draper P. Do precious metals shine? An investment perspective. Financial Analysis Journal 2006, 62:98-106.
    • (2006) Financial Analysis Journal , vol.62 , pp. 98-106
    • Hillier, D.1    Faff, R.2    Draper, P.3
  • 32
    • 0012639601 scopus 로고
    • Gold and gold stocks as investments for institutional portfolios
    • Jaffe J.F. Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal 1989, 50:53-59.
    • (1989) Financial Analysts Journal , vol.50 , pp. 53-59
    • Jaffe, J.F.1
  • 33
    • 0013180212 scopus 로고    scopus 로고
    • The determination and transmission of stock market volatility
    • Kearney C. The determination and transmission of stock market volatility. Global Finance Journal 2000, 11:31-52.
    • (2000) Global Finance Journal , vol.11 , pp. 31-52
    • Kearney, C.1
  • 34
    • 77953027125 scopus 로고
    • Gold as a hedge against inflation: an empirical investigation
    • Kolluri B.R. Gold as a hedge against inflation: an empirical investigation. Quarterly Review of Economics and Business 1981, 21:13-24.
    • (1981) Quarterly Review of Economics and Business , vol.21 , pp. 13-24
    • Kolluri, B.R.1
  • 35
    • 39549099944 scopus 로고    scopus 로고
    • Macrofactor conditional volatilities, conditional risk premia and stock return behavior
    • Koutolas G., Kryzanowski L. Macrofactor conditional volatilities, conditional risk premia and stock return behavior. Financial Review 1996, 31:169-195.
    • (1996) Financial Review , vol.31 , pp. 169-195
    • Koutolas, G.1    Kryzanowski, L.2
  • 36
    • 0040824855 scopus 로고
    • A short-run pricing model for a speculative asset, tested with data from the gold bullion market
    • Koutsoyiannis A. A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics 1990, 15:563-581.
    • (1990) Applied Economics , vol.15 , pp. 563-581
    • Koutsoyiannis, A.1
  • 38
    • 33847689073 scopus 로고    scopus 로고
    • Volatility relationship between crude oil and petroleum products
    • Lee Thomas K., Zyren John Volatility relationship between crude oil and petroleum products. Atlantic Economic Journal 2007, 35:97-112.
    • (2007) Atlantic Economic Journal , vol.35 , pp. 97-112
    • Lee, T.K.1    Zyren, J.2
  • 40
    • 0242586591 scopus 로고    scopus 로고
    • Gold and commodity prices as leading indicators of inflation: tests of long run relationships and predictive performance
    • Mahdavi S., Zhou S. Gold and commodity prices as leading indicators of inflation: tests of long run relationships and predictive performance. Journal of Economics and Business 1997, 49:475-489.
    • (1997) Journal of Economics and Business , vol.49 , pp. 475-489
    • Mahdavi, S.1    Zhou, S.2
  • 41
    • 77953026272 scopus 로고    scopus 로고
    • Nguyen, Pham-Duy, Carpenter Claudia, Gold climbs to record as India's Central Bank buys IMF bullion
    • November 3, 2009. (accessed 18/12/2009)
    • Nguyen, Pham-Duy, Carpenter Claudia, 2009, Gold climbs to record as India's Central Bank buys IMF bullion. November 3, 2009. (accessed 18/12/2009). http://www.bloomberg.com/apps/news?
    • (2009)
  • 42
    • 79960399577 scopus 로고    scopus 로고
    • Strategic and tactical allocation to commodities for retirement savings schemes (February 26, 2003)
    • Available at SSRN, or doi:10.2139/ssrn.425320
    • Nijman, Theo E. and Swinkels, Laurens A.P., Strategic and tactical allocation to commodities for retirement savings schemes (February 26, 2003). CentER Discussion Paper No. 2003-20. Available at SSRN: http://ssrn.com/abstract=425320 or doi:10.2139/ssrn.425320
    • CentER Discussion Paper No. 2003-20
    • Nijman1    Theo, E.2    Swinkels3    Laurens, A.P.4
  • 43
    • 84993877356 scopus 로고
    • Predictability of stock returns: robustness and economic significance
    • Pesaran M.Hashem, Timmermann Allan Predictability of stock returns: robustness and economic significance. Journal of Finance 1995, 50(4):1201-1228.
    • (1995) Journal of Finance , vol.50 , Issue.4 , pp. 1201-1228
    • Pesaran, M.1    Timmermann, A.2
  • 44
    • 4744364566 scopus 로고    scopus 로고
    • Volatility and commodity price dynamics
    • Pindyck R.S. Volatility and commodity price dynamics. Journal of Futures Markets 2004, 24:1029-1047.
    • (2004) Journal of Futures Markets , vol.24 , pp. 1029-1047
    • Pindyck, R.S.1
  • 45
    • 0035638655 scopus 로고    scopus 로고
    • On the nonlinear predictability of stock returns using financial and economic variables
    • Racine J. On the nonlinear predictability of stock returns using financial and economic variables. Journal of Business and Economic Statistics 2001, 19(3):380-382.
    • (2001) Journal of Business and Economic Statistics , vol.19 , Issue.3 , pp. 380-382
    • Racine, J.1
  • 46
    • 84977718754 scopus 로고
    • Information and volatility: the no-arbitrage Martingale approach to timing and resolution irrelevancy
    • Ross Stephen A. Information and volatility: the no-arbitrage Martingale approach to timing and resolution irrelevancy. Journal of Finance 1989, 44(1):1-17.
    • (1989) Journal of Finance , vol.44 , Issue.1 , pp. 1-17
    • Ross, S.A.1
  • 47
    • 0037275320 scopus 로고    scopus 로고
    • Macroeconomic determinants of technology stock volatility
    • Sadorsky P. Macroeconomic determinants of technology stock volatility. Review of Financial Economics 2003, 12:191-205.
    • (2003) Review of Financial Economics , vol.12 , pp. 191-205
    • Sadorsky, P.1
  • 48
    • 77953025832 scopus 로고    scopus 로고
    • The diversification benefits of commodity futures indexes: a mean-variance spanning test
    • In: Fabozzi, F.J, R Füss and D.G. Kaiser, (Eds.), The Handbook of Commodity Investing (Chapter 10)
    • Scherer, V., He L., 2008, The diversification benefits of commodity futures indexes: a mean-variance spanning test. In: Fabozzi, F.J, R Füss and D.G. Kaiser, (Eds.), The Handbook of Commodity Investing (Chapter 10).
    • (2008)
    • Scherer, V.1    He, L.2
  • 49
    • 77953025658 scopus 로고    scopus 로고
    • The evolution of commodity structured products: from the gold market to collateralized commodity obligations
    • Schwab, M.C., 2007, The evolution of commodity structured products: from the gold market to collateralized commodity obligations. In: Till and Eagleeye (Chapter 22).
    • (2007) In: Till and Eagleeye (Chapter 22)
    • Schwab, M.C.1
  • 50
    • 77953022277 scopus 로고
    • Commodity investing: long-run returns and the function of passive capital
    • Strongin S., Petsch M. Commodity investing: long-run returns and the function of passive capital. Derivatives Quarterly 1995, 56-64.
    • (1995) Derivatives Quarterly , pp. 56-64
    • Strongin, S.1    Petsch, M.2
  • 52
    • 77953024478 scopus 로고    scopus 로고
    • Dynamic commodity timing strategies
    • Working Paper, ABP Investments and Vrije Universiteit, Amsterdam, The Netherlands
    • Vrugt, E.B., Baner R., Molenaar R., Steemkamp T., 2004, Dynamic commodity timing strategies. Working Paper, ABP Investments and Vrije Universiteit, Amsterdam, The Netherlands.
    • (2004)
    • Vrugt, E.B.1    Baner, R.2    Molenaar, R.3    Steemkamp, T.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.