Persistence of precious metal prices : a fractional integration approach with structural breaks

dc.contributor.authorGil-Alana, Luis A.
dc.contributor.authorChang, Shinhye
dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorAye, Goodness Chioma
dc.contributor.authorGupta, Rangan
dc.date.accessioned2015-02-12T11:37:45Z
dc.date.available2015-02-12T11:37:45Z
dc.date.issued2015-06
dc.description.abstractThis paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based on a fractional integration modelling framework while identifying structural breaks. We use monthly data from 1972:1 to 2013:12. Our results indicate orders of integration that are equal to or greater than 1 (long memory) in all cases except for silver and palladium where we find strong evidence of mean reversion with a parametric and semiparametric method, respectively. Given some inconsistencies between the parametric and semiparametric results, we suspect the possibility of structural breaks and our results show evidence of structural breaks in almost all cases except palladium. However, after accounting for structural breaks, we find evidence of an increase in the degree of persistence across time in the majority of cases. This implies that in general, shocks to these precious metals will be permanent requiring strong policy measures to return the series to their equilibrium levels in the event of negative shocks.en_ZA
dc.description.librarianhj2015en_ZA
dc.description.urihttp://www.elsevier.com/locate/resourpolen_ZA
dc.identifier.citationGil-Alana, LA, Chang, S, Balcilar, M, Aye, GC & Gupta, R 2015, 'Persistence of precious metal prices : a fractional integration approach with structural breaks', Resources Policy, vol. 44, pp. 57-64.en_ZA
dc.identifier.issn0301-4207
dc.identifier.other10.1016/j.resourpol.2014.12.004
dc.identifier.urihttp://hdl.handle.net/2263/43654
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2015 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. 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. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Resources Policy, vol. 44, pp. 57-64, 2015. doi : 10.1016/j.resourpol.2014.12.004en_ZA
dc.subjectPrecious metalen_ZA
dc.subjectUnit rooten_ZA
dc.subjectLong memoryen_ZA
dc.subjectStructural breaken_ZA
dc.titlePersistence of precious metal prices : a fractional integration approach with structural breaksen_ZA
dc.typePostprint Articleen_ZA

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