The Macroeconomic Determinants of Volatility in Precious Metals Markets

Variables

Gold

Silver

Platinum

Palladium

S&P 500

.42 (.79)

1.20 (.31)

1.65 (.16)

2.90 (.02)

S&P 500 DivY

.76 (.55)

.32 (.86)

.89 (.47)

2.53 (.04)

W ex US

.59 (.67)

.70 (.59)

1.62(.17)

.78 (.54)

W ex US DivY

1.73 (.14)

1.39(.24)

1.66 (.16)

1.67 (.16)

Term Prem

2.88 (.02)

1.15(.33)

1.09 (.36)

1.78 (.13)

M2

2.44 (.04)

.67 (.61)

.98 (.42)

2.48 (.04)

Ind Prod

.60 (.66)

1.00(.41)

1.23(.30)

.56 (.69)

Inflation

.73 (.56)

1.42(.23)

.77(.54)

.64(.63)

Dollar

1.88(.11)

.43 (.78)

.09 (.98)

.54 (.70)

Cons Conf

.19(.94)

.59 (.67)

.33 (.85)

1.70 (.15)

Gold Volatility

15.73(.00)

2.89 (.02)

4.75 (.00)

3.78 (.00)

Silver Volatility

2.87 (.02)

8.86 (.00)

1.76 (.14)

.98 (.42)

Plat Volatility

.85 (.49)

.83 (.50)

5.44 (.00)

1.64 (.16)

Palla Volatility

.69 (.60)

.17 (.95)

4.82 (.00)

10.57 (.00)

R-sq

.5353

.4496

.5469

.6778

Adj R-sq

.3707

.2546

.3863

.5635