Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan, Michael McAleer and Mark A. Thompson
Additional contact information
Yuan Yuan: Lebow College of Business Drexel University
Mark A. Thompson: Rawls College of Business, Texas Tech University

No CIRJE-F-684, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for the four metals system show significant short-run and long-run dependencies and interdependencies to news and past volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a differential impact on the precious metals and the exchange rate volatilities. Finally, the applications of the results show the optimal weights in a two-asset portfolio and the hedging ratios for long positions.

Pages: 42pages
Date: 2009-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf684.pdf (application/pdf)

Related works:
Journal Article: Precious metals-exchange rate volatility transmissions and hedging strategies (2010)
Working Paper: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies (2009)
Working Paper: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2009cf684

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