Risk transmission from the COVID-19 to metals and energy markets

Imran Yousaf

Resources Policy, 2021, vol. 73, issue C

Abstract: We examine the risk transmission from the COVID-19 to metal (precious and industrial) and energy markets using the BEKK-MGARCH model. The findings reveal the significant and negative volatility transmission from the COVID-19 to gold, palladium, and brent oil markets, suggesting the safe-haven properties of these markets. The COVID-19 risk is not transmitted to the industrial metal market, whereas the rise in COVID-19 volatility leads to an increase in WTI oil market volatility. These results provide useful insights to investors and policymakers regarding risk management, asset pricing, and financial market stability during the COVID-19 pandemic.

Keywords: The COVID-19; Precious metals; Industrial metals; Energy market; The BEKK-MGARCH (search for similar items in EconPapers)
JEL-codes: G10 G11 G13 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001707

DOI: 10.1016/j.resourpol.2021.102156

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