Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS

Yufeng Chen, Jing Xu and May Hu

Resources Policy, 2022, vol. 78, issue C

Abstract: Driven by the importance of oil price, exchange rate and gold price in the world economy, we investigate asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS by estimating an asymmetric VAR-BEKK(DCC)-GARCH model using the daily data from August 2005 to March 2020. The empirical results indicate that gold is the ultimate recipient of volatility spillovers between the three markets in Brazil and India and the nexus between China's exchange rate market and crude oil market. Volatility spillovers between the three markets in Russia formed a bidirectional closed transmission path. As an emerging economy, South Africa had a weak link between its exchange rate and gold markets with the crude oil market. Furthermore, volatility spillovers exhibited self-evident asymmetry and dynamic correlations between the markets were unstable. The results are conducive to investors, policymakers, and researchers.

Keywords: Volatility spillover; Asymmetric VAR-BEKK(DCC)-GARCH model; Crude oil price; Exchange rate; Gold price (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003038

DOI: 10.1016/j.resourpol.2022.102857

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