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Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?

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  • Mokni, Khaled
  • Al-Shboul, Mohammed
  • Assaf, Ata

Abstract

The paper examines the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness among the precious metals before and over the COVID-19 pandemic period, using the Quantile-VAR method. This approach allows us to capture the left and right tails of the distributions of the precious metals returns corresponding to spillover effects under different market conditions: the bear, normal, and bull market states among these assets. We find that the total spillover index (TCI) varies across quantiles and increases widely during extreme market conditions, with a noticeable influence of the recent COVID-19 pandemic. Then, studying the impact of the economic uncertainty on the connectedness among the four precious metals, we find that gold still plays a dominant “safe-haven” asset in hedging market uncertainty, with other precious metals showing heterogeneous responses to the presence of the COVID-19 pandemic. Moreover, we argue that the COVID-19 pandemic significantly affects the dynamic connectedness among precious metals and the relationship between economic policy uncertainty and dynamic connectedness.

Suggested Citation

  • Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s030142072100249x
    DOI: 10.1016/j.resourpol.2021.102238
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    Keywords

    Economic policy uncertainty; Connectedness; Quantile-VAR; Precious metals; COVID-19;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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