We investigate key macroeconomic factors that impact the price returns of precious metals markets over a 20 year period. The markets investigated are gold, silver, platinum and palladium; whereas the macroeconomic factors accommodated business cycle, monetary environment and financial market sentiment factors. The key findings present limited evidence that the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals. This finding lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index; a finding of considerable importance for portfolio managers and investors.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1148741_code143468.pdf?abstractid=1148741&mirid=1&type=2

The Macroeconomic Determinants of Volatility in Precious Metals Markets

https://brianmlucey.files.wordpress.com/2011/05/maro_preciousvol.pdf

The macroeconomic determinants of volatility in precious metals markets

Macro determinants of volatility and volatility spillover in energy markets

Jump dynamics with structural breaks for crude oil prices

The relationship between spot and futures oil prices: Do structural breaks matter?

This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility to a change in OPEC’s pricing behavior. This study has three major conclusions. First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999. Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the variance equation. Third, persistence of volatility in all commodity markets is quite transitory, with half-lives normally being a few weeks.

John Zyren

Papers

Volatility Relationship between Crude Oil and Petroleum Products