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Downside and upside risk spillovers between precious metals and currency markets: evidence from before and during the COVID-19 crisis

2023Journal article Restricted access
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dc.contributor.authorHanif, Waqas
dc.contributor.authorMensi, Walid
dc.contributor.authorAlomari, Mohammad
dc.contributor.authorAndraz, Jorge
dc.date.accessioned2023-04-11T10:16:28Z
dc.date.available2023-04-11T10:16:28Z
dc.date.issued2023
dc.description.abstractThis paper investigates the tail dependence dynamics and asymmetric risk spillovers between the futures of four important precious metals (gold, silver, platinum, and palladium) and seven leading currencies (EUR, GBP, JPY, CAD, AUD, CHF, and CNY) before and during the COVID-19 crisis using the time-varying-parameter copula and the conditional Value-at-Risk (CoVaR) method. The results show the symmetric dependence between currencies and precious metals before the COVID-19 crisis. In contrast, we show negative and positive tail asymmetric dependences during the pandemic crisis. The COVID-19 crisis significantly amplifies the magnitude of spillover effects among the studied markets where the AUD currency exhibits the largest transmission and reception of downside and upside spillover to/from most precious metals before and during the pandemic crisis. Currency investors and portfolio managers could use the obtained results to better hedge and manage their investment positions when markets are affected by health crises.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.resourpol.2023.103350pt_PT
dc.identifier.issn0301-4207
dc.identifier.urihttp://hdl.handle.net/10400.1/19427
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationCenter for Advanced Studies in Management and Economics
dc.subjectPrecious metalspt_PT
dc.subjectCurrenciespt_PT
dc.subjectSystemic riskpt_PT
dc.subjectCOVID-19pt_PT
dc.titleDownside and upside risk spillovers between precious metals and currency markets: evidence from before and during the COVID-19 crisispt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT
oaire.citation.startPage103350pt_PT
oaire.citation.titleResources Policypt_PT
oaire.citation.volume81pt_PT
oaire.fundingStream6817 - DCRRNI ID
person.familyNameHanif
person.familyNameAndraz
person.givenNameWaqas
person.givenNameJorge
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.ciencia-idEC1D-CDFD-EB51
person.identifier.orcid0000-0002-0034-2049
person.identifier.orcid0000-0001-9209-3344
person.identifier.ridB-5858-2009
person.identifier.scopus-author-id57201879548
person.identifier.scopus-author-id8566879600
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication18a100c0-998a-4879-a6db-86f067253a64
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublication2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d
relation.isProjectOfPublication.latestForDiscovery2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d

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