Effects of Interdependence and Contagion on Crude Oil and Precious Metals According to ρ DCCA: A COVID-19 Case Study

Thiago Pires Santana, Nicole Horta, Catarina Revez, Rui Manuel Teixeira Santos Dias and Gilney Figueira Zebende ()
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Thiago Pires Santana: Earth Sciences and Environment Modeling Program, State University of Feira de Santana, Feira de Santana 44036-900, BA, Brazil
Nicole Horta: School of Business and Administration, Polytechnic Institute of Setúbal, 2910-761 Setúbal, Portugal
Catarina Revez: School of Business and Administration, Polytechnic Institute of Setúbal, 2910-761 Setúbal, Portugal
Rui Manuel Teixeira Santos Dias: Earth Sciences and Environment Modeling Program, State University of Feira de Santana, Feira de Santana 44036-900, BA, Brazil
Gilney Figueira Zebende: Physics Department and in the Earth Sciences and Environment Modeling Program, State University of Feira de Santana, Feira de Santana 44036-900, BA, Brazil

Sustainability, 2023, vol. 15, issue 5, 1-12

Abstract: The energy sector has been the main economic hub in everyone’s lives and in world geopolitics. Consequently, oil, gas, electricity and energy from renewable sources (wind and solar) are traded on the stock market, and all interconnected around the world. On the other hand, a global health crisis, such as COVID-19, can produce a great economic catastrophe. In this scenario, a robust statistical analysis will be performed here with respect to the concept of interdependence and contagion effect. For this project, we chose to study the relationship between the main source of energy (crude oil, WTI and Brent ) and two ( Gold and Silver ) precious metals (which are a safe haven for investment). Therefore, with the novelty of the application of ρ D C C A and Δ ρ D C C A coefficients before and during the COVID-19 crisis (announced by the World Health Organization), the interdependence and the contagion effect were calculated. We verified that COVID-19 had no influence on contagion effect between crude oil in its indexes, WTI and Brent , since they have already shown to be highly interdependent, both before and after the World Health Organization COVID-19 decree. Likewise, COVID-19 had a significant influence on the crude oil and precious metal sectors, which was evident as we identified an increase in its interdependence, with a clearly positive contagion. These results show that COVID-19 imposed a restructuring in the relationship between energy (crude oil) and precious metals. More details will be presented throughout this article.

Keywords: DCCA cross-correlation; interdependence; contagion; energy; precious metals; COVID-19 (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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