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Journals / Maliye ve Finans Yazıları / 2017 / Sayı: 107

Regime Dynamics of International Precious Metal Markets

Uluslararası Kıymetli Metal Piyasalarının Rejim Dinamikleri

Ayben KOY
Güldenur ÇETİN
İhsan ERSAN
Pages
26–40
Publication Date
2017-04-18
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR).
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Key Findings & Data:The observation period is between 02 January 2002 and 28 March 2016 and includes daily closed prices of gold, silver, palladium and platinum.
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Conclusion & Impact:Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.
🔬Design:Modeling & Simulation
📍Scope:2002 Verileri
⚙️Variables:Kıymetli Metal Piyasaları · Doğrusal Olmama · Markov Rejim Değişim Vektör Otoregresif Modeli

Abstract

The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR). The observation period is between 02 January 2002 and 28 March 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.

Özet

Bu çalışmanın amacı, kıymetli metal piyasalarının doğrusal olmayan yapılarını Çok Değişkenli Markov Rejim Değişim Modelleriyle (MMS-VAR) analiz etmektir. Çalışmanın gözlem aralığı 02 Ocak 2002 – 28 Mart 2016 olup, spot altın, gümüş, paladyum ve platine ait günlük kapanış fiyatlarını içermektedir. Araştırma sonuçları, uluslararası kıymetli metal piyasasının daralma, ılımlı büyüme ve genişleme rejimlerinden oluşan bir yapıya sahip olduğuna dair kanıtlar sunmaktadır.

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Cite This Article

KOY, A., ÇETİN, G., ERSAN, İ. (2017). Regime Dynamics of International Precious Metal Markets. Maliye ve Finans Yazıları, Sayı: 107, 26–40. https://ajindex.com/articles/228858

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