Macroeconomic factors and frequency domain causality between Gold and Silver returns in India.

ABSTRACT: This paper examines the relationship between gold and silver returns in India, using monthly data for the period May 1991 to June 2018. To this end, we employ the recently developed frequency domain rolling-window analysis (which is able to show that transitory high frequency shocks are not equal to permanent low frequency shocks over time), as well as the conditional, partial conditional, difference conditional approaches, in addition to the Toda Yamamoto and frequency domain Granger Causalities methods. Further, the relationship is examined in conditional and unconditional frameworks. To condition the relationship, three macroeconomic variables, namely interest rate, BSE stock index and inflation rate are used as the control variables. The results uncover some interesting predictability

SUBMITTER: Pradhan AK 

PROVIDER: S-EPMC7326452 | biostudies-literature | 2020 Oct

REPOSITORIES: biostudies-literature