Template-Type: ReDIF-Paper 1.0
Author-Name: Hammoudeh, S.M.
Author-Name-Last: Hammoudeh
Author-Name-First: Shawkat
Author-Person: pha672
Author-Name: Yuan, Y.
Author-Name-Last: Yuan
Author-Name-First: Yuan
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Author-Name: Thompson, M.A.
Author-Name-Last: Thompson
Author-Name-First: Mark
Title: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
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.
Creation-Date: 2009-11-24
File-URL: https://repub.eur.nl/pub/17308/EI2009-38.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2009-38
Classification-JEL: C32, G10
Keywords: correlation, dependency, exchange rates, hedging, interdependency, multivariate, precious metals, shocks, volatility
Handle: RePEc:ems:eureir:17308