Volatility in metallic resources prices in COVID-19 and financial Crises-2008: Evidence from global market

Qingqing Xu, Tianci Meng, Yue Sha and Xia Jiang

Resources Policy, 2022, vol. 78, issue C

Abstract: The prevalence of uncertainty is evident in natural resources and financial markets almost every period. However, the global financial crisis and the recent Covid-19 pandemic is considered the most distressful event that disturbs the global economic and financial performance. In such crises, natural resource (mineral) prices also fluctuate as a result of demand and supply shocks. Identifying volatility in metallic resource prices is now the time's need, which consequently leads to implementing appropriate policies for recovery of the global markets. In this sense, the current study analyzed these two period from August 21, 2007, to December 31, 2009 (global financial crisis) and from January 01, 2019, to September 17, 2021 (Covid-19 pandemic). The empirical results obtained via threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and exponential autoregressive conditional heteroscedasticity (EGARCH) model asserted that volatility exists in metallic resource prices in both the crises periods. Concerning the global financial cristhe metallic resource prices were more volatile in 2008, while such priwere are highly volatile during the Covid-19 pandemic peak year (2020). Additionally, volatility in metallic resources is found higher in the Covid-19 pandemic, relative to global financial crisis. Based on the empirical results, this study suggests the appropriate policy measures that could help tackle the issue of metallic resource price volatility.

Keywords: Metallic resources prices; Gold prices: global financial crisis; Covid-19; TGARCH; EGARCH (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003713

DOI: 10.1016/j.resourpol.2022.102927

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