Fluctuations in gold prices in Vietnam during the COVID-19 pandemic: Insights from a time-varying parameter autoregression model

Vietnam ranks 37th in the world's ranking of national economies but has the largest gold consumption in Southeast Asia and the 7th largest gold consumption in the world. The price of gold in Vietnam often increases substantially in an abnormal way. Therefore, we employ a time-varying parameter vector autoregression approach based on extended joint connectedness to explain Vietnam's high gold price. We analyze the connectedness between five markets—the foreign exchange, the Vietnamese stock, gold, crude oil, and cryptocurrency markets—and the global gold traded in Vietnam from January 1, 2018, to August 1, 2021. Our results show heterogeneous connections at the system level. Vietnam's gold market appears to act as a net receiver of shocks, while other markets, such as cryptocurrencies, foreign exchanges, and stocks, act as net transmitters. One of the most critical transmitters among these channels is gold. The gold market in Vietnam has behaved differently over the course of the COVID-19 pandemic than it did in the past. The Vietnamese gold market appears to be a net receiver during uncertain periods, whereas it is a net transmitter in the normal course of events. Crude oil and world gold act as long-term transmitters of shock during the pandemic period. By contrast, cryptocurrency accounts for an insignificant portion of the fluctuations in Vietnam's gold market, and its role is limited to the short term.