Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic

Wenli Huang and Mian Wu ()
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Mian Wu: China Academy of Financial Research, Zhejiang University of Finance and Economics, China

Energy RESEARCH LETTERS, 2021, vol. 2, issue 4, 1-7

Abstract: Our research explores how the COVID-19 pandemic has influenced the asymmetric spillover effects in the oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily gold and oil price data, 1) we find evidence of spillover only from the oil to the gold market and that this effect is stronger during the pandemic and 2) we conclude that a negative information shock in the oil market has a larger impact on gold return volatility compared to a positive shock and that this asymmetric spillover effect intensified during the pandemic.

Keywords: gold price; oil price; spillover effect; covid-19 (search for similar items in EconPapers)
JEL-codes: L1 Q02 Q41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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