Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches

Rabeh Khalfaoui, Aviral Tiwari, Akassi Kablan and Shawkat Hammoudeh

Energy Economics, 2021, vol. 101, issue C

Abstract: We empirically examine the connectedness between the oil market and the major precious metals (gold, silver platinum, palladium) and the base metal copper over the available period covering December 06, 1988 to August 31, 2018, using the wavelet coherence and quantile cross-spectral analyses. The major findings can be summed up as follows. First, regarding the connectedness among the considered precious metal markets, there is no evidence of identifying the causal interplays. Second, gold and platinum are highly connected with oil and they influence oil prices, especially during global markets' turmoil. Third, the cross-quantile coherency analysis shows that gold and silver exhibit the highest quantile coherency. Fourth, the intensity of the nexus between gold and copper attains its nadir at the extreme upper and lower quantiles. Our empirical findings have relevant implications for investors. It is important for investors in commodity markets to make appropriate investment market decisions in extreme market circumstances. On the other hand, policymakers may benefit from our research, as they could generate suitable strategies.

Keywords: Oil; Base and precious metals; Quantile coherency; Wavelet coherency; Lead-lag connectedness (search for similar items in EconPapers)
JEL-codes: C58 G1 O13 Q02 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Working Paper: Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003157

DOI: 10.1016/j.eneco.2021.105421

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