Contagion Between Gold and other Commodity Goods using Bayesian Multivariate Quantile_On_Quantile Approach

Hao Wen Chang (), Tsangyao Chang () and Yang-Cheng Lu ()
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Hao Wen Chang: Department of Finance, National Yang-Ming Chiao-Tung University, HsinChu, TAIWAN.
Tsangyao Chang: Department of Finance, Feng Chia University, Taichung, TAIWAN.
Yang-Cheng Lu: Department of Finance, Ming Chung University, Taipei, TAIWAN.

Journal for Economic Forecasting, 2023, issue 2, 21-35

Abstract: This study revisits Gold, Nickel, oil price, Copper, and Tin links using Bayesian Multivariate Quantile_on_Quantile approach over the period of 1960M1 to 2022M5. Where the GARCH (1,1) is considered when estimating the model to alleviate the heteroskedastic problem. Our findings show that the connections between Gold returns and other four commodity goods returns change across various quantiles. The GARCH model shows that previous information and persistence gauges vary with current conditional variance under different quantiles. Moreover, the half-life of a shock ranges from 0.38 to 3.72 months for all our markets, which was not found in the existing papers. Our findings provide prominent economic implications for investors, practitioners, and government.

Keywords: Bayesian; Quantile_on_Quantile; Gold; Commodity Goods; GARCH (search for similar items in EconPapers)
JEL-codes: C11 C21 G10 (search for similar items in EconPapers)
Date: 2023
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