Table 16 - uploaded by Hafiz Usman Rana
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This study examines the relationship between domestic macroeconomic factors and domestic precious metals prices across developed and emerging markets from 1979 to 2020. The statistical characteristics of the domestic variables are not found to be consistent across countries, so that these relationships cannot be modelled in one specific way. To mod...
Citations
... Figuerola-Ferretti and Gonzalo (2008) applied the VECM to investigate price relationships among palladium, gold, silver, and platinum, and showed that these prices are cointegrated and their futures prices might play the price discovery role that transmits potentially useful predictive information. Rana and O'Connor (2023) utilized the VECM to examine domestic macroeconomic determinants of prices of palladium, silver, gold, and platinum for different emerging and developed markets and concluded that each specific case should be investigated on a case-by-case basis, shedding light on the need to build the price forecast model for each commodity of each market separately. ...
Predictions of prices for a wide variety of commodities have been relied upon by governments and investors over the course of history. The purpose of this study is to investigate the difficult challenge of predicting daily palladium prices for the United States by utilizing time series data ranging from January 5, 1977, to March 26, 2024. When it comes to this crucial evaluation of commodity prices, estimates have not been given sufficient consideration in earlier research. In this context, price predictions are generated by the utilization of Gaussian process regression algorithms, which are estimated through the utilization of cross-validation processes and Bayesian optimization approaches. With a relative root mean square error of 0.4598%, our empirical prediction approach produces price estimates that are generally accurate for the out-of-sample phase that spans from March 24, 2017, to March 26, 2024. In order to make educated choices about the palladium industry, governments and investors can utilize price prediction models to get the information they need.
... In the realm of macroeconomics, a comprehensive examination encompasses an economy's overall performance, structural dynamics, behavioral patterns, and decision-making mechanisms, diverging significantly from the nuanced considerations of individual markets [18]. Central to this analytical framework are key indicators such as Gross Domestic Product (GDP), the unemployment rate, industrial output, Foreign Exchange (FOREX) rates, and the market prices of commodities like oil and gold [19]. Furthermore, industrial output metrics offer valuable assessments of production levels across pivotal sectors like manufacturing, mining, and utilities, shedding light on the economy's productive capacities and sectoral contributions [20]. ...
Subject. The article discusses precious metal prices, namely, prices for gold, silver, platinum, and palladium. Objectives. The purpose is to assess factors influencing precious metal prices in the world market, focusing on mutual influence of prices. Methods. The study employs a seasonal autoregressive integrated moving average with exogenous regressors (SARIMAX) econometric model. Results. The obtained econometric estimates for the four models (four precious metals) based on the statistics for 2014–2023 enabled to highlight one factor that is significant for the said precious metals pricing, S&P500 index. Moreover, we found that some of the precious metals are influenced by the USA dollar exchange rate, Purchasing Managers Index (PMI), and inflation. The gold price is a factor for pricing of all the precious metals, and they influence the price of gold at the same time. The mutual influence of prices of other precious metals is observed in all cases, though with different degree. Conclusions. Precious metal prices are influenced by different macroeconomics and financial market indices. Mutual influence of precious metal prices on world financial markets can be explained by investors’ attitude to them as a whole group of financial instruments. We suppose that this fact may strengthen the role of psychological aspects of investing in this part of the financial market.