Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model
Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model
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气候风险和黄金交易量的可预测性：来自 INGARCH 模型的证据
DOI：
10.1016/j.resourpol.2023.103438
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发表时间：
2023
期刊：
影响因子：
10.2
通讯作者：
Rognone, Lavinia
中科院分区：
文献类型：
--
作者：
Karmakar, Sayar;Gupta, Rangan;Cepni, Oguzhan;Rognone, Lavinia
我们调查了基于文本的物理或过渡气候风险是否预测了黄金交易合约的日交易量。鉴于黄金量数据的计数值性质，我们采用了一个对数线性泊松整数值广义自回归条件异方差（IN-GARCH）模型与气候相关的协变量。我们发现，实物风险对未来5天和22天的黄金交易量具有显著的预测能力。此外，从全样本分析来看，实物风险与黄金数量呈正相关。结合这些发现，我们得出结论，黄金在1周和1个月的范围内对冲物理风险。类似的结果适用于铂和钯，但不适用于银。
We investigate whether text-based physical or transition climate risks forecast the daily volume of gold trade contracts. Given the count-valued nature of gold volume data, we employ a log-linear Poisson integer-valued generalized autoregressive conditional heteroskedasticity (IN-GARCH) model with a climate-related covariate. We detect that physical risks have a significant predictive power for gold volume at 5- and 22-day-ahead horizons. Additionally, from a full-sample analysis, it emerges that physical risks positively relate with gold volume. Combining these findings, we conclude that gold hedges physical risks at 1-week and 1-month horizons. Similar results hold for platinum and palladium, but not for silver.