Gold, platinum and the predictability of bond risk premia

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dc.contributor.author Bouri, Elie
dc.contributor.author Demirer, Riza
dc.contributor.author Gupta, Rangan
dc.contributor.author Wohar, Mark E.
dc.date.accessioned 2021-04-13T07:15:03Z
dc.date.available 2021-04-13T07:15:03Z
dc.date.issued 2021-01
dc.description.abstract We show that the ratio of gold to platinum prices (GP) contains significant predictive information for excess U.S. government bond returns, even after controlling for a large number of financial and macro factors. Including GP in the model improves the predictive accuracy, over and above the standard macroeconomic and financial predictors, at all forecasting horizons for the shortest maturity bonds and at longer forecasting horizons for bonds with longer maturities beyond 2 years. The findings highlight the predictive information captured by commodity prices on bond market excess returns with significant investment and policy making implications. en_ZA
dc.description.department Economics en_ZA
dc.description.librarian hj2021 en_ZA
dc.description.uri http://www.elsevier.com/locate/frl en_ZA
dc.identifier.citation Bouri, E., Demirer, R., Gupta, R. et al. 2021, 'Gold, platinum and the predictability of bond risk premia', Finance Research Letters, vol. 38, art. 101490, pp. 1-7. en_ZA
dc.identifier.issn 1544-6123 (print)
dc.identifier.issn 1544-6131 (online)
dc.identifier.other 10.1016/j.frl.2020.101490
dc.identifier.uri http://hdl.handle.net/2263/79405
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 38, art. 101490, pp. 1-7, 2021. doi : 10.1016/j.frl.2020.101490. en_ZA
dc.subject Bond premia en_ZA
dc.subject Predictability en_ZA
dc.subject Gold-platinum price ratio en_ZA
dc.subject Out-of-sample forecasts en_ZA
dc.title Gold, platinum and the predictability of bond risk premia en_ZA
dc.type Postprint Article en_ZA


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