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.

Volatility Relationship between Crude Oil and Petroleum Products

This study investigates the changing relationship between price and volume traded of short- and long-maturity NYMEX light sweet crude oil futures contracts and major changes in the physical crude oil market during the last decade. Monthly series for the #1-month to 84-month out maturity contracts are generated from daily price and volume data for NYMEX West Texas Intermediate (WTI) futures contracts for the period from January 2000 to the middle of 2009. 3-D graphical analysis of the futures prices, contract volumes, maturity dates, and time is used to demonstrate the changing trading volume pattern and evolution of the shape of futures price term structure across various contract maturities in different market regimes. The study observes the impacts of both May 2004, when excess production capacity reached nearly zero, and September 2006, when electronic trading was implemented on the NYMEX WTI futures markets. This analysis will be used to determine if futures contract information can provide an early indication of market regime shifts and improve short-run crude oil spot price forecast models.

Crude Oil Futures as an Indicator of Market Changes: A Graphical Analysis

Volatility Spillover versus Contagion: Empirical Evidence from Crude Oil and Gasoline Markets

The central bank policy instruments have become less effective in an environment where economies are integrated with sophisticated financial products. We argue that economic stability is a function of interactions between financial and commodity markets. We utilize MGARCH models to identify volatility comovements between these markets in the United States since 2000. Our results suggest that financial markets have strong impacts on prices and volatility in commodity markets which could be due to intertemporal capital mobility. Thus, understanding commodity markets is inseparable from understanding financial market activities, and must now be included in an economic equation to achieve an effective policy.

Thomas K. Lee

Papers

Volatility Relationship between Crude Oil and Petroleum Products

Crude Oil Futures as an Indicator of Market Changes: A Graphical Analysis

Volatility Spillover versus Contagion: Empirical Evidence from Crude Oil and Gasoline Markets

Effectiveness of Monetary Policy: Market Reactions and Volatility Interactions