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Precious metal returns and oil shocks: A time varying connectedness approach
SZABIST, Pakistan.
Montpellier Business Sch, France.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
2018 (English)In: Resources policy, ISSN 0301-4207, E-ISSN 1873-7641, Vol. 58, p. 77-89Article in journal (Refereed) Published
Abstract [en]

This paper examines the impact of oil shocks on precious metal returns using structural vector autoregression (SVAR) model proposed by Kilian and Park (2009). We capture variability in the effects through rolling window impulse response functions and by extending the dynamic connectedness approach of Diebold and Yilmaz (2014) using structural forecast error variance decomposition. We report time varying effect of disintegrated structural oil shocks on precious metal returns with a significant increase during the global financial crisis period of 2008-09. Our results also indicate that the aggregate demand shocks have most significant spillover effect on the precious metals except gold. We also report that oil specific demand shocks have highest impact on gold during the financial crisis and palladium having possible hedging opportunities against oil price movement. These findings have important investment implications for individual and institutional investors.

Place, publisher, year, edition, pages
ELSEVIER SCI LTD , 2018. Vol. 58, p. 77-89
Keywords [en]
Oil shocks; Precious metals; SVAR
National Category
Social Sciences Interdisciplinary
Identifiers
URN: urn:nbn:se:liu:diva-152399DOI: 10.1016/j.resourpol.2018.03.014ISI: 000447105800008OAI: oai:DiVA.org:liu-152399DiVA, id: diva2:1259611
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation [W2016-0364:1]

Available from: 2018-10-30 Created: 2018-10-30 Last updated: 2018-11-23

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