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- Publisher
- Emerald Publishing
- Copyright
- © Emerald Publishing Limited
- ISSN
- 1086-7376
- eISSN
- 1755-6791
- DOI
- 10.1108/sef-09-2023-0550
- Publisher site
- See Article on Publisher Site
Abstract
The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.Design/methodology/approachUsing daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices.FindingsThe empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era.Originality/valueTwo are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.
Journal
Studies in Economics and Finance – Emerald Publishing
Published: Nov 14, 2024
Keywords: Precious metal prices; US economic recessions; Persistence; COVID-19; F10; G10; G11; G15