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Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis

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  • Mensi, Walid
  • Nekhili, Ramzi
  • Vo, Xuan Vinh
  • Kang, Sang Hoon

Abstract

This paper examines the volatility transmission between crude oil and four precious metals (i.e., gold, silver, platinum, and palladium) and investigates whether oil can be considered as a hedge or safe-haven asset against four precious metals. Our empirical analysis reveals several important findings. First, we determine that the volatility transmission was time-varying and that influence from the Asian crisis, the bursting of the dot-com bubble, the 2008 global financial crisis, the recent oil-price crash, and COVID-19 alternated between negative and positive values over the entire studied period. We further conclude that Brent oil is a diversifier and a weak safe haven for precious metals; and thus, that a combined portfolio composed of Brent-oil and precious-metals futures yields better hedging effectiveness. These findings indicate that oil futures are a useful investment that reduces downside risks and strengthens diversification benefits in portfolio risk management.

Suggested Citation

  • Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 73-96.
    • Handle: RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96
    DOI: 10.1016/j.eap.2021.04.009
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    More about this item

    Keywords

    Precious metals; Oil; Hedge; Safe haven; Asymmetric dynamic correlations;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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