Show simple item record

Files in this item


Item metadata

dc.contributor.authorFiguerola-Ferretti, Isabel
dc.contributor.authorMcCrorie, J. Roderick
dc.identifier.citationFiguerola-Ferretti , I & McCrorie , J R 2016 , ' The shine of precious metals around the global financial crisis ' , Journal of Empirical Finance , vol. 38 , no. Part B , pp. 717-738 .
dc.identifier.otherPURE: 241533447
dc.identifier.otherPURE UUID: e3694c7b-7bf4-4914-a9bd-1e8c7942d5a7
dc.identifier.otherRIS: urn:96D808A00ECCB0CC38A28979157DDC9F
dc.identifier.otherScopus: 84961926576
dc.identifier.otherORCID: /0000-0002-6838-7091/work/58531581
dc.identifier.otherWOS: 000384383100011
dc.descriptionFiguerola-Ferretti thanks the Spanish Ministry of Education and Science for support under grants MICINN ECO2010-19357, ECO2012-36559 and ECO2013-46395, and McCrorie, The Carnegie Trust for the Universities of Scotland under grant no. 31935.en
dc.description.abstractWe analyze the price behavior of the main precious metals – gold, silver, platinum and palladium – before, during and in the aftermath of the 2007–08 financial crisis. Using the mildly explosive/multiple bubble technology developed by Phillips, Shi and Yu (2015, International Economic Review 56(4), 1043–1133), we find significant, short periods of mildly explosive behavior in the spot and futures prices of all four metals. Fewer periods are detected using exchange-rate adjusted prices, and almost none when deflated prices are used. We assess whether these findings are indicative of bubble behavior. Convenience yield is shown to have little efficacy in this regard, while other fundamental proxy variables and position data offer only very limited evidence against prices having been anything other than fundamentals-driven. Possible exceptions are in gold in the run-up to the highpoint of the financial crisis, and in silver and palladium around the launch of specific financial products. Some froth, however, is reported and discussed for each metal.
dc.relation.ispartofJournal of Empirical Financeen
dc.rights© 2016 Published by Elsevier B.V. This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at
dc.subjectPrecious metalsen
dc.subjectEconomic bubblesen
dc.subjectMildly explosive processesen
dc.subjectGeneralized sup ADF testen
dc.subjectHB Economic Theoryen
dc.titleThe shine of precious metals around the global financial crisisen
dc.typeJournal articleen
dc.contributor.sponsorCarnegie Trusten
dc.contributor.institutionUniversity of St Andrews. School of Economics and Financeen
dc.description.statusPeer revieweden

This item appears in the following Collection(s)

Show simple item record