Regime Dynamics of International Precious Metal Markets

Year 2017, Issue: 107, 26 - 40, 18.04.2017

Ayben Koy , Güldenur Çetin , İhsan Ersan

https://doi.org/10.33203/mfy.307172

Cited By: 1

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.

Keywords

Precious Metals Markets, Nonlinearity, Markov Switching Vector Autoregressive Model

Uluslararası Kıymetli Metal Piyasalarının Rejim Dinamikleri

Abstract

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.

Keywords

Kıymetli Metal Piyasaları, Doğrusal Olmama, Markov Rejim Değişim Vektör Otoregresif Modeli

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