Regime Dynamics of International Precious Metal Markets

Ayben Koy, Güldenur Çetin and İhsan Ersan
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Ayben Koy: Istanbul Commerce University
Güldenur Çetin: Istanbul Commerce University
İhsan Ersan: Istanbul University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2017, vol. 32, issue 107, 26-40

Abstract: The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using multivariate markov switching vector autoregressive models (mms-var). The observation period is between 02 january 2002 and 28 march 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.

Keywords: Precious Metals Markets; Nonlinearity; Markov Switching Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: G11 G13 G15 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:32:y:2017:i:107:p:26-40

DOI: 10.33203/mfy.307172

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