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dc.contributor.author | Bouri, Elie![]() |
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dc.contributor.author | Demirer, Riza![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Wohar, Mark E.![]() |
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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 |