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Precious Metal Prices: A Tale of Four U.S. Recessions

Author

Listed:
  • Agnese, Pablo

    (UIC Barcelona)

  • Garcia-del-Barrio, Pedro

    (University of Navarra)

  • Gil-Alana, Luis A.

    (University of Navarra)

  • de Gracia, Fernando Perez

    (University of Navarra)

Abstract
This paper empirically examines the degree of persistence in four precious metal prices (i.e., gold, palladium, platinum, and silver) during the last four U.S. recessions. Unit root tests and fractional integration techniques suggest that gold still is the most prominent safe haven asset within this particular asset class. Our analysis highlights gold's traditional role as a hedge against market uncertainty in post-pandemic new era, thus retaining its status quo as a store of value during economic contractions.

Suggested Citation

  • Agnese, Pablo & Garcia-del-Barrio, Pedro & Gil-Alana, Luis A. & de Gracia, Fernando Perez, 2023. "Precious Metal Prices: A Tale of Four U.S. Recessions," IZA Discussion Papers 16012, Institute of Labor Economics (IZA).
    • Handle: RePEc:iza:izadps:dp16012
    as

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    File URL: https://docs.iza.org/dp16012.pdf
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    References listed on IDEAS

    as
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    2. Gil-Alana, Luis A. & Chang, Shinhye & Balcilar, Mehmet & Aye, Goodness C. & Gupta, Rangan, 2015. "Persistence of precious metal prices: A fractional integration approach with structural breaks," Resources Policy, Elsevier, vol. 44(C), pages 57-64.
    3. Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
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    5. Kinateder, Harald & Campbell, Ross & Choudhury, Tonmoy, 2021. "Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets," Finance Research Letters, Elsevier, vol. 43(C).
    6. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
    7. Brian M. Lucey & Sile Li, 2015. "What precious metals act as safe havens, and when? Some US evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 35-45, January.
    8. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
    9. Li, Sile & Lucey, Brian M., 2017. "Reassessing the role of precious metals as safe havens–What colour is your haven and why?," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 1-14.
    10. Low, Rand Kwong Yew & Yao, Yiran & Faff, Robert, 2016. "Diamonds vs. precious metals: What shines brightest in your investment portfolio?," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 1-14.
    11. Kucher, Oleg & McCoskey, Suzanne, 2017. "The long-run relationship between precious metal prices and the business cycle," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 263-275.
    12. Mensi, Walid & Hammoudeh, Shawkat & Rehman, Mobeen Ur & Al-Maadid, Alanoud Ali S. & Hoon Kang, Sang, 2020. "Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
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    More about this item

    Keywords

    persistence; U.S. recessions; precious metal prices; COVID-19;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F10 - International Economics - - Trade - - - General

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