Time-varying volatility spillovers between oil prices and precious metal prices

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dc.authorid0000-0003-4168-2792
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-4762-9282
dc.authorwosidYILDIRIM, Durmuş Çağrı/V-8841-2019
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidEsen, Ömer/E-8335-2015
dc.authorwosidCevik, Emrah/K-1967-2019
dc.contributor.authorYıldırım, Durmuş Çağrı
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorEsen, Ömer
dc.date.accessioned2022-05-11T14:02:42Z
dc.date.available2022-05-11T14:02:42Z
dc.date.issued2020
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Maliye Bölümü
dc.description.abstractThis paper tackles whether there is a return and volatility spillover effect between oil price and precious metal prices such as gold, silver, platinum, and palladium using the causality-in-variance test approach proposed by Hong (2001). This study utilizes the daily data covering the period from 1990 to 2019 and the empirical findings reveal that there is causality-in-mean relation running from the oil return series to precious metal return series. The causality-in-mean test results show that oil price is Granger cause of all precious metals. Similarly, we find a volatility spillover effect from the oil market to the precious metal market according to the causality-in-variance test results. On the other hand, we find evidence in favor of the bidirectional volatility spillover effect between oil and silver return series. Also, the volatility spillover effect from oil to platinum seems to be weak when it is compared to the other precious metals. Moreover, the time-varying causality-in-variance test results provide a different picture because the null hypothesis of no volatility spillover from precious metals to oil is rejected at specific periods. More interestingly, we find that there is a sequential feedback relationship between oil and silver. Finally, the volatility spillover effect from the oil market to the precious metal markets seems to be strong specifically after the 2000s.
dc.identifier.doi10.1016/j.resourpol.2020.101783
dc.identifier.issn0301-4207
dc.identifier.issn1873-7641
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2020.101783
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4446
dc.identifier.volume68
dc.identifier.wosWOS:000573655000001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.institutionauthorYıldırım, Durmuş Çağrı
dc.institutionauthorÇevik, Emrah İsmail
dc.institutionauthorEsen, Ömer
dc.language.isoen
dc.publisherElsevier Sci Ltd
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectOil price
dc.subjectPrecious metals
dc.subjectCausality
dc.subjectVolatility spillover
dc.subjectCrude-Oil
dc.subjectSafe Haven
dc.subjectNonlinear Causality
dc.subjectGranger Causality
dc.subjectStock Markets
dc.subjectVariance
dc.subjectGold
dc.subjectGarch
dc.subjectPersistence
dc.subjectDynamics
dc.titleTime-varying volatility spillovers between oil prices and precious metal prices
dc.typeArticle

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