The Macroeconomic Determinants of Volatility in Precious Metals Markets



Table 5- Subperiod Analysis: First Half of Sample

Variables

Gold

Silver

Platinum

Palladium

S&P 500

1.43(.24)

.94 (.45)

2.77 (.04)

2.33 (.07)

S&P 500 DivY

.46 (.76)

.79 (.53)

4.01(.00)

2.55 (.05)

W ex US

.95 (.44)

.45 (.76)

.27(.89)

1.61(.19)

W ex US DivY

1.41 (.25)

1.31(.28)

.31 (.86)

3.19 (.02)

Term Prem

1.07 (.38)

.37(.82)

1.69 (.17)

.90 (.47)

M2

.36 (.87)

1.16(.34)

1.43(.24)

.91 (.46)

Ind Prod

.62 (.65)

.59(.67)

1.05(.39)

1.03(.40)

Inflation

1.70(.17)

.25(.90)

.73(.57)

.76(.56)

Dollar

2.81(.04)

1.04(.39)

.08 (.98)

1.20(.32)

Cons Conf

2.09(.10)

.98 (.43)

1.65(.18)

.39 (.81)

Gold Volatility

1.64(.18)

1.35 (.27)

.29 (.87)

.24 (.91)

Silver Volatility

1.49 (.22)

1.09 (.37)

2.09 (.10)

.25(.90)

Plat Volatility

1.22(.32)

3.50(.01)

8.72 (.00)

1.97 (.12)

Palla Volatility

.75 (.56)

1.22(.31)

1.20 (.32)

4.64(.00)

R-sq

.7182

.6509

.8707

.7960

Adj R-sq

.2674

.0923

.6639

.4697

22



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