Can news-based economic sentiment predict bubbles in precious metal markets?

Financial Innovation

Table 12 Descriptive statistics of additional variables

	VIX	EPU	GPR	ID-EMV
Panel A: Summary descriptive statistics
Mean	19.2933	111.7145	86.0089	28.2249
Median	17.4350	104.1809	66.3031	11.5800
Maximum	62.9800	350.4598	545.2632	1556.6800
Minimum	9.4500	57.2026	23.7440	0.0000
Std. Dev	7.6740	37.6639	63.7495	116.3420
Skewness	1.8874	1.8532	2.9797	9.5788
Kurtosis	8.4230	9.3209	16.3471	103.6355
Jarque–Bera test	669.4***	957.5***	3810.2***	187,152.3***
Jarque–Bera test	(0.0000)	(0.0000)	(0.0000)	(0.0000)

	ADF test		PP test
	Including intercept	Including intercept and trend	Including intercept	Including intercept and trend
Panel B: ADF and PP stationary tests
VIX	− 6.6571***	− 6.6965***	− 6.3345***	− 6.3841***
VIX	(0.0000)	(0.0000)	(0.0000)	(0.0000)
EPU	− 2.7697*	− 3.1889*	− 5.9159***	− 6.4246***
EPU	(0.0635)	(0.0880)	(0.0000)	(0.0000)
GPR	− 7.7869***	− 8.3431***	− 7.9478***	− 8.5735***
GPR	(0.0000)	(0.0000)	(0.0000)	(0.0000)
ID-EMV	− 5.4481***	− 5.7126***	− 5.3729***	− 5.6567***
ID-EMV	(0.0000)	(0.0000)	(0.0000)	(0.0000)

	Including intercept		Including intercept and trend
	Test statistics	Break date	Test statistics	Break date
Panel C: Zivot-Andrews (ZA) stationary test
VIX	− 4.6920**	2011M11	− 4.8333**	2008M10
VIX	(0.0106)		(0.0440)
EPU	− 4.0869**	2007M08	− 4.2335*	2007M08
EPU	(0.0408)		(0.0755)
GPR	− 5.0922*	2001M09	− 5.1344*	2001M09
GPR	(0.0731)		(0.0908)
ID-EMV	− 5.9350	2015M04	− 7.5298**	2015M04
ID-EMV	(0.1550)		(0.0199)

The Zivot-Andrews (ZA) which allows for both a structural break in intercept, trend or both. The null hypothesis of the ZA test is that the series has a unit root with a structural break(s) against the alternative hypothesis that they are stationary with a break(s). p values are given in brackets. *, **, and *** indicate significance at 10%, 5%, and 1% levels, respectively.