Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach

Using a quantile causality approach, we examine the causal relationship among the spot prices of precious metals (gold, silver, platinum and palladium) through mean and variance. This methodology also allows investigation of the causality among precious metals during recessions, booms and normal market states. Employing daily spot price data from April 2000 to July 2016 we found evidence of bi-directional causality in mean and variance among the prices of precious metals. Results indicate a strong causality for the middle quantiles (normal time periods). Robustness of results is also examined by employing weekly spot price data. Overall our results have significant implications for policy makers, portfolio managers and investors. •A two-way causality exists among precious metal prices.•The results show differences in causality in mean and variance.•Daily and weekly precious metal prices show different causality patterns.•There is evidence of weak causality among precious metal prices in crisis and boom periods, indicating diversification benefits.