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Examination of the impacts of systemic financial stress on precious metal prices

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  • Ozcelebi, Oguzhan
  • Pérez-Montiel, Jose A.
  • Manera, Carles

Abstract

This study investigates the causal effects of systemic financial stress indicators on gold and silver price returns. We use time-varying causality and quantile-based techniques with weekly data for the period September 28, 2012, to January 27, 2023. The results of the time-varying causality test indicate that systemic financial stress has a persistent causal impact on gold and silver prices in certain dates, which suggests the relevant role of the COVID-19 on the relationship between the variables. On the other hand, the results of the multi-scale quantile Granger causality tests indicate that large negative/positive variations in the systemic financial stress indicators significantly affect gold and silver prices, which can influence the safe-haven asset role of precious metals. Finally, within the framework of an asymmetric quantile regression model, we reveal the regimes under which increases in the financial stress indicators affect gold prices in the short, medium, and long run. We find that increases in systemic financial stress reinforce the role of gold as a safe-haven asset, while the fading of the conditions leading to financial stress leads to the fall of silver prices in the short run.

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  • Ozcelebi, Oguzhan & Pérez-Montiel, Jose A. & Manera, Carles, 2026. "Examination of the impacts of systemic financial stress on precious metal prices," Resources Policy, Elsevier, vol. 112(C).
    • Handle: RePEc:eee:jrpoli:v:112:y:2026:i:c:s0301420725003514
    DOI: 10.1016/j.resourpol.2025.105809
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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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