Spillovers from oil to precious metals: Quantile approaches

Syed Jawad Hussain Shahzad, Mobeen Ur Rehman and Rania Jammazi

Resources Policy, 2019, vol. 61, issue C, 508-521

Abstract: The impact of oil price changes on five precious metal prices is explored through novel VAR for VaR and the cross-quantilogram approaches. The methods enable to encircle the safe haven potentials of each precious metal against the oil price shocks across quantiles. We identify the changing nature characterizing the safe haven role of each precious metal because each precious metal could be a strong/weak safe haven asset against downward/upward oil shocks. The analysis of the upside/downside spillover effects from oil to precious metals markets support recent evidence on the risk propagation across the mentioned pairs. We underscore several crucial facts that should be noted by investors and policy makers aiming to protect their positions against the inherent risk generated by falling/rising oil prices.

Keywords: C13; C14; O13; Oil; Precious metals; VAR for VaR; Cross-quantilogram (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (58)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:61:y:2019:i:c:p:508-521

DOI: 10.1016/j.resourpol.2018.05.002

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