Abstract：This study examines the long- and short-run information transition among the spot prices of three precious metals (gold, silver, and platinum), world oil price, and RMB exchange rate. We find that the precious metal and RMB exchange rate respond significantly (long-and short-run) to a shock in oil price, but a weak feedback from the other side. The results also show the dominant role of gold price in the precious metal group, with silver and platinum in a subordinate position. Furthermore, we discover evidence of the oil and precious metals’ significant impact on RMB exchange rate and RMB exchange rate’s little influence on commodities like oil and precious metals. The empirical study helps understand the financialization trend of commodities, and provides reference to investment, financial regulation and innovation as well.
Keywords: Spot Precious Metal Price, RMB Exchange Rate, Crude Oil Price, Generalized Variance Decomposition, Generalized Impulse Response
source:Finance & Trade Economics ,No4,2014