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Title: Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?
Authors: Assaf, Ata 
Affiliations: Department of Business Administration 
Co-authors: Khaled Mokni
Mohammed Al-Shoubl
Keywords: Economic policy uncertainty
Precious metals
Issue Date: 2021
Publisher: Elsevier
Part of: Resources Policy
Volume: 74
Issue: 102238
Start page: 1
End page: 15
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.
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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