Gold, Platinum and the Predictability of Bond Risk Premia

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

No 201967, Working Papers from University of Pretoria, Department of Economics

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)
Pages: 12 pages
Date: 2019-08
New Economics Papers: this item is included in nep-fmk, nep-for, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Gold, platinum and the predictability of bond risk premia (2021)
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