Gold, platinum and the predictability of bond risk premia

Elie Bouri (), Riza Demirer, Rangan Gupta and Mark Wohar

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We show that the ratio of gold to platinum prices (GP) contains significant predictive information for excess U.S. government bond returns, even after controlling for a large number of financial and macro factors. Including GP in the model improves the predictive accuracy, over and above the standard macroeconomic and financial predictors, at all forecasting horizons for the shortest maturity bonds and at longer forecasting horizons for bonds with longer maturities beyond 2 years. The findings highlight the predictive information captured by commodity prices on bond market excess returns with significant investment and policy making implications.

Keywords: Bond premia; Predictability; Gold-Platinum price ratio; Out-of-Sample forecasts (search for similar items in EconPapers)
JEL-codes: C22 C53 G12 G17 Q02 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Working Paper: Gold, Platinum and the Predictability of Bond Risk Premia (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309079

DOI: 10.1016/j.frl.2020.101490

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