Economics at your fingertips  

Reassessing the role of precious metals as safe havens–What colour is your haven and why?

Sile Li and Brian Lucey ()

Journal of Commodity Markets, 2017, vol. 7, issue C, 1-14

Abstract: The role of gold as a safe haven asset has been extensively studied in recent years. This article extends previous literature and examines time varying safe haven properties versus equities and bonds of four precious metals (gold, silver, platinum and palladium) across eleven countries. Results suggest that the metals each play safe haven roles; there are times when one metal is not while another may be a safe haven against an asset. The second part of this article attempts to identify robust economic and political determinants of precious metals safe haven properties applying zero-inflated Poisson regression (ZIP) and extreme bound analysis (EBA). Economic Policy Uncertainty is found to be a positive and robust determinant of a precious metal being a safe haven. This holds across countries. Stock volatility, exchange rates, interest rate and credit spreads are also found to be significant, but results are quite mixed for different markets and are fragile of model specification.

Keywords: Safe Haven; Precious metals; Gold; Silver; Platinum; Palladium; Market stress; Zero-inflated Poisson; Extreme bound analysis. (search for similar items in EconPapers)
JEL-codes: G10 G19 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-12-08
Handle: RePEc:eee:jocoma:v:7:y:2017:i:c:p:1-14