Alternative specifications: silver, platinum, and palladium as proxies for the commodity spot market
| S&P 500 index | Silver | Platinum | Palladium | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) |
| Intercept | 238.57 (4.98) | 225.40 (7.76) | 32.46 (2.30) | 247.73 (5.01) | 227.07 (8.04) | 28.96 (1.72) | 270.68 (5.01) | 236.70 (8.10) | 50.38 (4.22) |
| Silver | 0.20 (1.35) | 0.08 (0.68) | 0.17 (1.33) | ||||||
| Platinum | 0.12 (0.67) | 0.06 (0.45) | 0.21 (1.33) | ||||||
| Palladium | –0.08 (–0.55) | –0.05 (–0.46) | –0.002 (–0.01) | ||||||
| CDS spread | 0.007 (1.47) | 0.007 (1.81) | –0.003 (–0.98) | 0.007 (1.51) | 0.007 (1.82) | –0.003 (–1.03) | 0.008 (1.64) | 0.007 (1.94) | –0.002 (–0.73) |
| 6-mo T-bill rate | 0.02 (0.28) | 0.03 (1.02) | –0.15 (–2.77) | 0.03 (0.42) | 0.04 (1.06) | –0.15 (–2.78) | 0.05 (0.63) | 0.04 (1.16) | –0.13 (–2.33) |
| NBUDI | –1.92 (–4.23) | –1.92 (–7.00) | –1.92 (–4.21) | –1.92 (–6.95) | –1.96 (–4.21) | –1.91 (–7.07) | |||
| BEI | 0.35 (5.65) | 0.36 (5.84) | 0.36 (5.66) | ||||||
| FRB | 0.21 (5.44) | 0.21 (5.53) | 0.21 (5.54) | ||||||
| Fed funds rate | –0.13 (–1.82) | 0.05 (1.05) | –0.14 (–1.92) | 0.05 (1.04) | –0.16 (–2.03) | 0.04 (0.67) | |||
| Job postings | 0.45 (17.09) | 0.34 (11.36) | 0.26 (5.53) | 0.45 (16.09) | 0.34 (11.22) | 0.27 (5.58) | 0.44 (16.31) | 0.34 (11.07) | 0.25 (5.36) |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Covid news effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Adj R-sq | 0.9412 | 0.9666 | 0.9520 | 0.9412 | 0.9608 | 0.9520 | 0.9412 | 0.9608 | 0.9520 |
| S&P 500 index | Silver | Platinum | Palladium | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) |
| Intercept | 238.57 (4.98) | 225.40 (7.76) | 32.46 (2.30) | 247.73 (5.01) | 227.07 (8.04) | 28.96 (1.72) | 270.68 (5.01) | 236.70 (8.10) | 50.38 (4.22) |
| Silver | 0.20 (1.35) | 0.08 (0.68) | 0.17 (1.33) | ||||||
| Platinum | 0.12 (0.67) | 0.06 (0.45) | 0.21 (1.33) | ||||||
| Palladium | –0.08 (–0.55) | –0.05 (–0.46) | –0.002 (–0.01) | ||||||
| CDS spread | 0.007 (1.47) | 0.007 (1.81) | –0.003 (–0.98) | 0.007 (1.51) | 0.007 (1.82) | –0.003 (–1.03) | 0.008 (1.64) | 0.007 (1.94) | –0.002 (–0.73) |
| 6-mo T-bill rate | 0.02 (0.28) | 0.03 (1.02) | –0.15 (–2.77) | 0.03 (0.42) | 0.04 (1.06) | –0.15 (–2.78) | 0.05 (0.63) | 0.04 (1.16) | –0.13 (–2.33) |
| NBUDI | –1.92 (–4.23) | –1.92 (–7.00) | –1.92 (–4.21) | –1.92 (–6.95) | –1.96 (–4.21) | –1.91 (–7.07) | |||
| BEI | 0.35 (5.65) | 0.36 (5.84) | 0.36 (5.66) | ||||||
| FRB | 0.21 (5.44) | 0.21 (5.53) | 0.21 (5.54) | ||||||
| Fed funds rate | –0.13 (–1.82) | 0.05 (1.05) | –0.14 (–1.92) | 0.05 (1.04) | –0.16 (–2.03) | 0.04 (0.67) | |||
| Job postings | 0.45 (17.09) | 0.34 (11.36) | 0.26 (5.53) | 0.45 (16.09) | 0.34 (11.22) | 0.27 (5.58) | 0.44 (16.31) | 0.34 (11.07) | 0.25 (5.36) |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Covid news effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Adj | 0.9412 | 0.9666 | 0.9520 | 0.9412 | 0.9608 | 0.9520 | 0.9412 | 0.9608 | 0.9520 |
Note(s): *** indicates significance at 1% level; ** indicates significance at 5% level; * indicates significance at 10% level. Variables with moderate–to–severe multicollinearity (VIF >10) are avoided in each model. The coefficient of the fixed effects is not reported. The sample period is the weekly observations from Jan’2020 to Mar’2022. T-statistics values are in parentheses
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