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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 Connectedness Quantile-VAR Precious metals COVID-19 |
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. |
URI: | https://scholarhub.balamand.edu.lb/handle/uob/5149 | DOI: | https://doi.org/10.1016/j.resourpol.2021.102238 | Ezproxy URL: | Link to full text | Type: | Journal Article |
Appears in Collections: | Department of Business Administration |
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