A macroeconomic viewpoint using a structural VAR analysis of silver price behaviour

Zurika Robinson

Mineral Economics, 2024, vol. 37, issue 1, No 2, 15-23

Abstract: Abstract This article investigates silver price as a fluctuating commodity price since the financial crisis of 2007–2009. In this regard, a structural vector autoregression (VAR) was applied to observe the sensitivity of the silver price and future pricing due to changes in macroeconomic variables and to review changes in macroeconomic variables due to changes in the silver price. The main results show that the silver price is susceptible to changes in the gold price, increasing sideways. A shock to OECD GDP caused the silver price to increase which makes logical sense, thus showing a positive correlation between output and the silver price. A shock to the oil price caused the silver price to spike over the short term, then move sideways over the long term. A shock to the US Federal funds rate caused the silver price to dip over the short term, then increase slightly over the medium and move sideways over the long term, while a shock to the real effective exchange rate of the USA caused the silver price to increase sideways. The article sheds some light on the reactive status of the silver price to macroeconomic variables and its influence as a safe haven commodity.

Keywords: Silver; Gold; Oil; Commodity prices (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s13563-023-00386-y

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