Transactions of Nonferrous Metals Society of China The Chinese Journal of Nonferrous Metals

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中国有色金属学报(英文版)

Transactions of Nonferrous Metals Society of China

Vol. 25    No. 2    February 2015

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Dynamic interacting relationships among international oil prices, macroeconomic variables and precious metal prices
Xue-hong ZHU1,2, Jin-yu CHEN1, Mei-rui ZHONG1,2

1. School of Business, Central South University, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China

Abstract:From the perspective of long-term and short-term, the methods of TY causality test, generalized impulse response function, variance decomposition were used to investigate the impacts of international oil prices and macroeconomic variables on Chinese gold, silver and platinum prices, but also the feedback effects of Chinese precious metal prices under this impact. The results show that international oil prices play an important role in precious metal price variation both in long-term and short-term, and exchange rate only has an effect in short-term, while interest rate is ineffective in predicting precious metal prices. In addition, precious metal prices have some feedback effects on international oil prices and interest rate in short-term.

 

Key words: international oil price; precious metal price; TY causality test; generalized impulse response function; variance decomposition

ISSN 1004-0609
CN 43-1238/TG
CODEN: ZYJXFK

ISSN 1003-6326
CN 43-1239/TG
CODEN: TNMCEW

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