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Spillovers from oil to precious metals: Quantile approaches

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  • Shahzad, Syed Jawad Hussain
  • Rehman, Mobeen Ur
  • Jammazi, Rania

Abstract

The impact of oil price changes on five precious metal prices is explored through novel VAR for VaR and the cross-quantilogram approaches. The methods enable to encircle the safe haven potentials of each precious metal against the oil price shocks across quantiles. We identify the changing nature characterizing the safe haven role of each precious metal because each precious metal could be a strong/weak safe haven asset against downward/upward oil shocks. The analysis of the upside/downside spillover effects from oil to precious metals markets support recent evidence on the risk propagation across the mentioned pairs. We underscore several crucial facts that should be noted by investors and policy makers aiming to protect their positions against the inherent risk generated by falling/rising oil prices.

Suggested Citation

  • Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Jammazi, Rania, 2019. "Spillovers from oil to precious metals: Quantile approaches," Resources Policy, Elsevier, vol. 61(C), pages 508-521.
    • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:508-521
    DOI: 10.1016/j.resourpol.2018.05.002
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    More about this item

    Keywords

    C13; C14; O13; Oil; Precious metals; VAR for VaR; Cross-quantilogram;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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