In this article, I present a theoretical pricing model based on macroecnomic information. Secondly, I am empirically investigating key properties of this model by using recent market data. From these findings, I finally construct a statistical fair-value indicator for the silver spot price. This indicator conveniently absorbs statistically significant macroeconomic information that is impacting silver spot pricing.
This research is 100% reproducible.
The files of interest in this repository are:
- silver-market-timing.pdf: Rendered report. Code chunks are not displayed in this version
- silver-market-timing.Rmd: Complete report including all fully-reproducible R code chunks
- data/xagusd.csv: Daily XAG/USD quotes
- data/btcusd.csv: Daily BTC/USD quotes
- data/10-year-breakeven-inflation-rate.csv: 10-Year Breakeven Inflation Rate [T5YIE], retrieved from FRED, Federal Reserve Bank of St. Louis
- data/10-year-treasury.csv: 10-Year Treasury Constant Maturity Rate[DGS10], retrieved from FRED, Federal Reserve Bank of St. Louis
For more information, please contact c.satzky@gmail.com.