Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?

Khaled Mokni (), Mohammad Al-Shboul and Ata Assaf

Resources Policy, 2021, vol. 74, issue C

Abstract: The paper examines the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness among the precious metals before and over the COVID-19 pandemic period, using the Quantile-VAR method. This approach allows us to capture the left and right tails of the distributions of the precious metals returns corresponding to spillover effects under different market conditions: the bear, normal, and bull market states among these assets. We find that the total spillover index (TCI) varies across quantiles and increases widely during extreme market conditions, with a noticeable influence of the recent COVID-19 pandemic. Then, studying the impact of the economic uncertainty on the connectedness among the four precious metals, we find that gold still plays a dominant “safe-haven” asset in hedging market uncertainty, with other precious metals showing heterogeneous responses to the presence of the COVID-19 pandemic. Moreover, we argue that the COVID-19 pandemic significantly affects the dynamic connectedness among precious metals and the relationship between economic policy uncertainty and dynamic connectedness.

Keywords: Economic policy uncertainty; Connectedness; Quantile-VAR; Precious metals; COVID-19 (search for similar items in EconPapers)
JEL-codes: C14 C32 G11 G14 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s030142072100249x

DOI: 10.1016/j.resourpol.2021.102238

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