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South African political unrest, oil prices, and the time varying risk premium in the gold futures market. 1990.

by on December 5, 2014

The risk premium underlying gold prices is examined by Melvin and Sultan (1990) who use a GARCH framework to show that it is time varying, a fact which is determined by a number of factors. The conditional variance of spot prices is found to be due to political unrest (specifically in South Africa due to the time period under consideration – 1975 to 1988) and oil price changes. Political unrest is an author calculated figure based on the deaths due to political violence, the number of demonstrations and political arrests reported in the New or Times. The conditional variance of gold futures prices is shown to be dependent on spot price forecast errors.

Reference: Melvin, Michael, and Jahangir Sultan. “South African political unrest, oil prices, and the time varying risk premium in the gold futures market.” Journal of Futures Markets 10.2 (1990): 103-111.

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From → Empirical, Gold

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