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Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach

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Cited by:

  1. Maghyereh, Aktham & Abdoh, Hussein, 2022. "Extreme dependence between structural oil shocks and stock markets in GCC countries," Resources Policy, Elsevier, vol. 76(C).
  2. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  3. Dutta, Anupam & Bouri, Elie & Rothovius, Timo & Uddin, Gazi Salah, 2023. "Climate risk and green investments: New evidence," Energy, Elsevier, vol. 265(C).
  4. Youssef, Manel & Mokni, Khaled, 2021. "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, vol. 73(C).
  5. Li, Yiying & Yan, Cheng & Ren, Xiaohang, 2023. "Do uncertainties affect clean energy markets? Comparisons from a multi-frequency and multi-quantile framework," Energy Economics, Elsevier, vol. 121(C).
  6. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Wang, Jianqiong, 2020. "Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models," Energy, Elsevier, vol. 212(C).
  7. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
  8. 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.
  9. 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).
  10. Bao, Dun, 2020. "Dynamics and correlation of platinum-group metals spot prices," Resources Policy, Elsevier, vol. 68(C).
  11. Dogan, Eyup & Majeed, Muhammad Tariq & Luni, Tania, 2021. "Analyzing the impacts of geopolitical risk and economic uncertainty on natural resources rents," Resources Policy, Elsevier, vol. 72(C).
  12. Sheng‐Tun Li & Kuei‐Chen Chiu & Chien‐Chang Wu, 2023. "Apply big data analytics for forecasting the prices of precious metals futures to construct a hedging strategy for industrial material procurement," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(2), pages 942-959, March.
  13. Feng, Hao & Gao, Da & Duan, Kun & Urquhart, Andrew, 2023. "Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework," International Review of Financial Analysis, Elsevier, vol. 89(C).
  14. Salisu, Afees A. & Adediran, Idris, 2020. "Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks," Resources Policy, Elsevier, vol. 66(C).
  15. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Oluwaseun A. & Alobaloke, Kafayat A. & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," Resources Policy, Elsevier, vol. 79(C).
  16. Hasan, Mostafa Monzur & Wong, Jin Boon & Al Mamun, Mohammed Abdullah, 2022. "Oil shocks and corporate social responsibility," Energy Economics, Elsevier, vol. 107(C).
  17. Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  18. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
  19. Chen, Ying & Zhu, Xuehong & Li, Hailing, 2022. "The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression," Energy, Elsevier, vol. 246(C).
  20. Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, CEPII research center, issue 167, pages 136-150.
  21. Zhu, Qi & Jin, Sisi & Huang, Yuxuan & Yan, Cheng, 2022. "Oil price uncertainty and stock price informativeness: Evidence from listed U.S. companies," Energy Economics, Elsevier, vol. 113(C).
  22. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Risk spillovers and diversification between oil and non-ferrous metals during bear and bull market states," Resources Policy, Elsevier, vol. 72(C).
  23. Lu, Xinjie & Ma, Feng & Li, Haibo & Wang, Jianqiong, 2023. "INE oil futures volatility prediction: Exchange rates or international oil futures volatility?," Energy Economics, Elsevier, vol. 126(C).
  24. Mohammad Al-Shboul & Aktham Maghyereh, 2023. "Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
  25. Rehman, Mobeen Ur, 2019. "Energy shocks pricing model: A non-linear US sectoral based analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  26. Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
  27. Alturki,Sultan Abdulaziz M & Hibbert,Ann Marie, 2021. "The Impact of Oil Shocks on Sovereign Default Risk," Policy Research Working Paper Series 9546, The World Bank.
  28. Tang, Yusui & Ma, Feng, 2023. "The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching," Resources Policy, Elsevier, vol. 83(C).
  29. Das, Debojyoti & Le Roux, Corlise Liesl & Jana, R.K. & Dutta, Anupam, 2020. "Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar," Finance Research Letters, Elsevier, vol. 36(C).
  30. Zhou, Jianguo & Xu, Zhongtian, 2023. "A novel three-stage hybrid learning paradigm based on a multi-decomposition strategy, optimized relevance vector machine, and error correction for multi-step forecasting of precious metal prices," Resources Policy, Elsevier, vol. 80(C).
  31. Luqman, Muhammad & Mugheri, Adil & Ahmad, Najid & Soytas, Ugur, 2023. "Casting shadows on natural resource commodity markets: Unraveling the quantile dilemma of gold and crude oil prices," Resources Policy, Elsevier, vol. 86(PA).
  32. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
  33. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
  34. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
  35. Wu, Jie & Zhao, Ruizeng & Sun, Jiasen & Zhou, Xuewei, 2023. "Impact of geopolitical risks on oil price fluctuations: Based on GARCH-MIDAS model," Resources Policy, Elsevier, vol. 85(PB).
  36. Agnello, Luca & Castro, Vítor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2020. "Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases," Energy Economics, Elsevier, vol. 90(C).
  37. Ren, Xiaohang & Li, Yiying & Qi, Yinshu & Duan, Kun, 2022. "Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics," Energy, Elsevier, vol. 254(PB).
  38. Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021. "Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness," Resources Policy, Elsevier, vol. 73(C).
  39. Feng Ma & Xinjie Lu & Lu Wang & Julien Chevallier, 2021. "Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1070-1085, September.
  40. Mishra, Shekhar & Mishra, Sibanjan, 2021. "Are Indian sectoral indices oil shock prone? An empirical evaluation," Resources Policy, Elsevier, vol. 70(C).
  41. Debojyoti Das & Anupam Dutta & Rabin K. Jana & Indranil Ghosh, 2023. "The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4299-4323, October.
  42. Ahmad, Wasim & Prakash, Ravi & Uddin, Gazi Salah & Chahal, Rishman Jot Kaur & Rahman, Md. Lutfur & Dutta, Anupam, 2020. "On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?," Energy Economics, Elsevier, vol. 91(C).
  43. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.
  44. Souza, Rodrigo da Silva & Fry-McKibbin, Renée, 2021. "Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 781-800.
  45. Alam, Md Rafayet & Forhad, Md. Abdur Rahman & Sah, Nilesh B., 2022. "Consumption- and speculation-led change in demand for oil and the response of base metals: A Markov-switching approach," Finance Research Letters, Elsevier, vol. 47(PB).
  46. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
  47. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
  48. Zhang, Zitao & Qin, Yun, 2022. "Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price," Resources Policy, Elsevier, vol. 77(C).
  49. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  50. Dutta, Anupam & Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Impact of energy sector volatility on clean energy assets," Energy, Elsevier, vol. 212(C).
  51. Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
  52. Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & María de la Cruz del Río-Rama, 2020. "A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures," Mathematics, MDPI, vol. 8(6), pages 1-19, June.
  53. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
  54. Debojyoti Das & M Kannadhasan & Malay Bhattacharyya, 2020. "Oil price shocks and emerging stock markets revisited," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 17(6), pages 1583-1614, December.
  55. Du, He & Zhang, Chunguang, 2024. "Economic policy uncertainty and natural resources commodity prices: A comparative analysis of pre- and post-pandemic quantile trends in China," Resources Policy, Elsevier, vol. 88(C).
  56. Duan, Huayou & Zhao, Chenchen & Wang, Lu & Liu, Guangqiang, 2024. "The relationship between renewable energy attention and volatility: A HAR model with markov time-varying transition probability," Research in International Business and Finance, Elsevier, vol. 71(C).
  57. Mobeen Ur Rehman & Sajid Ali & Syed Jawad Hussain Shahzad, 2020. "Asymmetric Nonlinear Impact of Oil Prices and Inflation on Residential Property Prices: a Case of US, UK and Canada," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 39-54, June.
  58. Rasool Dehghanzadeh Shahabad & Mehmet Balcilar, 2022. "Modelling the Dynamic Interaction between Economic Policy Uncertainty and Commodity Prices in India: The Dynamic Autoregressive Distributed Lag Approach," Mathematics, MDPI, vol. 10(10), pages 1-21, May.
  59. Huang, Jianbai & Dong, Xuesong & Chen, Jinyu & Zhong, Meirui, 2022. "Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 433-445.
  60. Guo, Yaoqi & Shi, Fengyuan & Lin, Boqiang & Zhang, Hongwei, 2023. "The impact of oil shocks from different sources on China's clean energy metal stocks: An analysis of spillover effects based on a time-varying perspective," Resources Policy, Elsevier, vol. 81(C).
  61. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
  62. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
  63. Maria Ghani & Usman Ghani, 2024. "Economic Policy Uncertainty and Emerging Stock Market Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 165-181, March.
  64. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
  65. Seuk Wai Phoong & Masnun Al Mahi & Seuk Yen Phoong, 2023. "A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic," SAGE Open, , vol. 13(1), pages 21582440231, February.
  66. Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021. "Oil price shocks and the return and volatility spillover between industrial and precious metals," Energy Economics, Elsevier, vol. 99(C).
  67. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
  68. Liu, Renren & Chen, Jianzhong & Wen, Fenghua, 2021. "The nonlinear effect of oil price shocks on financial stress: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  69. Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2022. "Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method," Resources Policy, Elsevier, vol. 78(C).
  70. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2020. "The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets," Resources Policy, Elsevier, vol. 69(C).
  71. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
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