Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?
Chaoqun Ma and
Resources Policy, 2020, vol. 69, issue C
We investigate the information transmission channels between gold and the financial assets of crude oil futures, US stocks, and exchange rates from the perspective of spillovers. Our daily dataset runs from January 3, 1986, to February 25, 2020. By using the VAR-BEKK-GARCH model, we find mean spillovers in all cases, except for the relationship between gold and US stocks. The volatility spillovers between gold and crude oil futures markets are generally negligible but they are significant for US stocks and foreign exchange markets. Due to the inherent limitations associated with the use of volatility to satisfactorily capture risk, we investigate extreme risk spillovers by using the novel VAR for VaR framework. Asymmetric risk spillover effects are found: there are significant bidirectional downside risk spillovers but not upside spillovers between gold and the studied financial assets, which provides complementary evidence of volatility spillovers. Our results thus add new evidence on the information dependencies between gold and financial assets.
Keywords: Gold; Financial assets; Spillover effects; VAR-BEKK-GARCH; VAR for VaR (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720309028
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