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

Nicholas Apergis et al.

Applied Financial Economics2014https://doi.org/10.1080/09603107.2014.899668article
AJG 2ABDC B
Weight
0.60

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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https://doi.org/https://doi.org/10.1080/09603107.2014.899668

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@article{nicholas2014,
  title        = {{Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach}},
  author       = {Nicholas Apergis et al.},
  journal      = {Applied Financial Economics},
  year         = {2014},
  doi          = {https://doi.org/https://doi.org/10.1080/09603107.2014.899668},
}

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

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Evidence weight

0.60

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.64 × 0.4 = 0.25
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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