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Gold, Platinum and the Predictability of Bond Risk Premia

Elie Bouri (), Riza Demirer (), Rangan Gupta () and Mark Wohar ()
Additional contact information
Elie Bouri: USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon
Mark Wohar: College of Business Administration, University of Nebraska at Omaha, 6708 Pine Street, Omaha, NE 68182, USA, and School of Business and Economics, Loughborough University, Leicestershire, LE11 3TU, UK

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)
New Economics Papers: this item is included in nep-fmk, nep-for, nep-ore and nep-rmg
Date: 2019-08
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201967

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