Oil price shocks and the return and volatility spillover between industrial and precious metals

COVID-19 and the quantile connectedness between energy and metal markets

“… Umar et al (2019) show that copper is a shock transmitter, while zinc is a shock receiver. Umar et al, 2021a , Umar et al, 2021b , Umar et al, 2021c , Umar et al, 2021d , Umar et al, 2021e , Umar et al, 2021f , Umar et al, 2021g explore the dynamic return and volatility connectedness between metals and oil shocks. They show that oil demand shocks are transmitters of shocks while oil risk shocks are receivers of shocks.…”

Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach

“…First, much of the literature considers the relationship between gold, Bitcoin, and currency; the effect of the exchange rate (the real value of the dollar) has been taken into account to reflect the financial function of gold ( He et al, 2020 ; Pukthuanthong and Roll, 2011 ) and Bitcoin ( Hui et al, 2020 ; Janson and Karoubi, 2021). Second, due to the strong substitution as a hedging asset between gold and crude oil, numerous papers include crude oil prices in studies about gold hedges ( Adekoya and Oliyide, 2020 ; Umar et al, 2021b ; Salisu et al, 2021 ). Additionally, the relationship between Bitcoin and crude oil is receiving increasing attention ( Das et al, 2020 ; Selmi et al, 2018 ).…”

Exploring time-varying impact of world pandemic uncertainty on China's commodity prices using TVP-SVAR-SV model

“…Since there are a wide range of commodity categories due to varied criteria, most researchers typically select a single broad commodity index, such as agricultural commodities ( 23 – 25 ), energy ( 16 ), metals ( 26 ), and precious metals ( 20 , 27 ). Still a few compared the differences between several commodity price sub-indices.…”