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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
|Keywords:||Economic policy uncertainty
|Issue Date:||2021||Publisher:||Elsevier||Part of:||Resources Policy||Volume:||74||Issue:||102238||Start page:||1||End page:||15||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.
|Appears in Collections:||Department of Business Administration|
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checked on Oct 21, 2021
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