Journal article
Macroeconomic factors and frequency domain causality between Gold and Silver returns in India
Resources policy, v 68, 101744
Oct 2020
PMID: 34173414
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the relationship between gold and silver returns in India, using monthly data for the period May 1991 to June 2018. To this end, we employ the recently developed frequency domain rolling-window analysis (which is able to show that transitory high frequency shocks are not equal to permanent low frequency shocks over time), as well as the conditional, partial conditional, difference conditional approaches, in addition to the Toda Yamamoto and frequency domain Granger Causalities methods. Further, the relationship is examined in conditional and unconditional frameworks. To condition the relationship, three macroeconomic variables, namely interest rate, BSE stock index and inflation rate are used as the control variables. The results uncover some interesting predictability patterns that vary along the spectrum. Specifically, by applying the rolling-window analysis, we find mixed results of the causality between the gold and silver markets based on the frequencies of different lengths. Our results provide policy inputs, assist investors and hedgers who wish to invest in these markets by constructing strategies and diversify their portfolios based on different frequencies.
•Impact of macroeconomic factors on frequency domain causality between Gold and Silver returns is examined.•The results uncover some interesting predictability patterns that vary along the spectrum.•We find a significant bi-directional causality between the gold and silver markets in both the high and low frequencies but of different lengths.
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Details
- Title
- Macroeconomic factors and frequency domain causality between Gold and Silver returns in India
- Creators
- Ashis Kumar Pradhan - Maulana Azad National Institute of TechnologyBibhuti Ranjan Mishra - Visvesvaraya National Institute of TechnologyAviral Kumar Tiwari - RajagiriShawkat Hammoudeh - Drexel University
- Publication Details
- Resources policy, v 68, 101744
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000573656500008
- Scopus ID
- 2-s2.0-85087430230
- Other Identifier
- 991019167899504721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Environmental Studies