 Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yieldDror Parnes The North American Journal of Economics and Finance, 2024, vol. 69, issue PA Abstract: Preliminary univariate and multivariate regressions, visual inspections, various relative entropy probes, and complementary Pearson correlation tests and Welch’s t-tests all suggest that the copper-to-gold ratio often embeds rather short-termed (up to a few days) yet credible information about the 10-year U.S. Treasury yield. This phenomenon has been more noticeable in recent years and in times where no major economic shocks have developed. False signals in this leading indicator, however, are not uncommon, and they emerge mostly around global macroeconomic tremors. As declared by different market participants, in the absence of macroeconomic turbulences, the copper-to-gold ratio tends to be tightly coordinated (up to a few day lags) with the 10-year U.S. Treasury yield, and as such, it can serve as a momentary leading indicator for the latter, although not always and not with complete precision. Keywords: Copper-to-gold ratio; 10-Year U.S. treasury yield; Leading indicator; Relative Entropy; Kullback-Leibler divergence (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390 DOI: 10.1016/j.najef.2023.102016 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.