Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis

Gazi Uddin, Syed Jawad Hussain Shahzad, Gideon Boako, Jose Areola Hernandez and Brian Lucey

Resources Policy, 2019, vol. 64, issue C

Abstract: We examine the spillover characteristics of returns and volatilities of precious metals: gold, silver, platinum and palladium. We find evidence of homogenous and time varying asymmetric spillovers between the returns and volatilities of the precious metals suggesting similarities in their cyclical relationship with global and local fundamentals. Negative and positive shocks cause the asymmetric spillovers and are more pronounced in times of financial turmoil. The largest transmission of net spillovers is exerted by gold and silver. Silver in the short and long runs and in good and bad market conditions leads the spillover transmission. The pairs silver-gold and palladium-platinum display the largest directional spillovers. Lastly, while palladium and platinum act mainly as spillover receivers, gold and silver act mainly as transmitters of spillovers. Implications of the results are discussed.

Keywords: Precious metals; Risk spillovers; Asymmetries; Frequency dynamics (search for similar items in EconPapers)
JEL-codes: C12 C58 L61 Q02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930426x

DOI: 10.1016/j.resourpol.2019.101509

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