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Oil-gold nexus: Evidence from regime switching-quantile regression approach

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  • Youssef, Manel
  • Mokni, Khaled

Abstract

Previous Studies Examining The Oil-Gold Nexus Do Not Account For The Oil And Gold Markets Conditions Jointly. This Study Examines The Oil-Gold Price Relationship By Considering The Switching-Regime In Oil Price Shocks And The Gold Market Conditions. The Different Sources Of Oil Shocks (Supply, Demand, And Risk Shocks) Are Identified Based On The Recent Procedure Of Ready (2018), While The Effect Of Oil Price Shocks Is Investigated Based On A New Approach That Combines The Regime-Switching And Quantile-Regression Models. Results Suggest That The Response Of Gold Returns To Oil Price Changes Depends On The Forces-Driven Oil Shocks And The Gold Market Conditions. Moreover, Gold Price Responds More Intensively To Demand Shocks Rather Than Supply And Risk Shocks. We Also Confirm That The Gold Price Reaction To Oil Shocks Changes In Sign, Magnitude, And Significance According To Oil Price Shocks Regimes And Gold's Conditional Distribution. These Findings Have Important Implications For Investors Regarding The Hedging And Safe-Haven Role Of Gold Against Oil Shocks.

Suggested Citation

  • Youssef, Manel & Mokni, Khaled, 2021. "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002270
    DOI: 10.1016/j.resourpol.2021.102215
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    More about this item

    Keywords

    Oil shocks; Gold price; Regime-switching; Quantile regressions;
    All these keywords.

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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