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Unveiling the gold-oil whirl amidst market uncertainty shocks in China

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  • Li, Houjian
  • Li, Yanjiao
  • Luo, Fangyuan

Abstract

This study provides a comprehensive examination of the dynamic interaction between the crude oil and gold markets amid Economic Policy Uncertainty (EPU), Climate Policy Uncertainty (CPU), Monetary Policy Uncertainty (MPU), Geopolitical Risk (GPR), and Equity Market Volatility (EMV), emphasizing the growing concerns over extreme risks and shocks driven by uncertainty. Using the time-varying Granger causality test and Time-Varying Parameter Vector Autoregression (TVP-VAR) approach, this study uncovers several key insights into the market dynamics of gold, crude oil, and uncertainty between January 2000 and July 2022. Firstly, our analysis reveals significant time-varying causal links between oil, gold, and uncertainty, particularly during major crises. Secondly, the pairwise spillover analysis demonstrates that gold and crude oil predominantly act as receivers of uncertainty, with uncertainty shocks serving as notable risk transmitters. Thirdly, the findings suggest that during extreme market conditions, the spillover effects among uncertainty, crude oil, and gold are more pronounced compared to normal market scenarios. These empirical insights contribute to the development of strategies for hedging investment risks in various uncertain environments by leveraging the interdependencies between the crude oil and gold markets.

Suggested Citation

  • Li, Houjian & Li, Yanjiao & Luo, Fangyuan, 2025. "Unveiling the gold-oil whirl amidst market uncertainty shocks in China," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002584
    DOI: 10.1016/j.najef.2024.102333
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    Keywords

    Uncertainty shocks; Oil; Gold; Extreme risks; TVP-VAR; Time-varying causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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