Metal markets drivers

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00108736" target="_blank" >RIV/00216224:14560/17:00108736 - isvavai.cz</a>

Výsledek na webu

<a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ECE2017_fin.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ECE2017_fin.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Metal markets drivers

Popis výsledku v původním jazyce

Due to hybrid nature of metals and to recent financialization of commodity market it is crucial to examine what drives metals markets to understand and to predict their devel- opment. The aim of the paper is to explain metal price movements by assessing an im- pact of multiple economic and financial factors. Eight macroeconomic and financial vari- ables are considered as candidates for the metal markets drivers. The data are collected from Bloomberg. Mixed-data-sampling regression model is used to process various fre- quencies of the drivers (daily and monthly). Interest rate, exchange rate, stock levels, stock index returns and crude oil returns are found generally significant to drive metal markets. The stock index has the most significant impact on the metals returns that is negative. Considered drivers best explain variability of the platinum returns (27%), on the other hand they explain only 9% of the silver market variability.

Název v anglickém jazyce

Metal markets drivers

Popis výsledku anglicky

Due to hybrid nature of metals and to recent financialization of commodity market it is crucial to examine what drives metals markets to understand and to predict their devel- opment. The aim of the paper is to explain metal price movements by assessing an im- pact of multiple economic and financial factors. Eight macroeconomic and financial vari- ables are considered as candidates for the metal markets drivers. The data are collected from Bloomberg. Mixed-data-sampling regression model is used to process various fre- quencies of the drivers (daily and monthly). Interest rate, exchange rate, stock levels, stock index returns and crude oil returns are found generally significant to drive metal markets. The stock index has the most significant impact on the metals returns that is negative. Considered drivers best explain variability of the platinum returns (27%), on the other hand they explain only 9% of the silver market variability.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Enterprise and Competitive Environment Conference Proceedings

ISBN

9788075094995

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

480-488

Název nakladatele

Mendel University in Brno

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

9. 3. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000427306200050