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Does oil impact gold during COVID-19 and three other recent crises?

The ongoing COVID-19 pandemic has inspired an examination of the oil–gold prices nexus during four recent crises: the COVID-19 pandemic, the gold market crash, the European sovereign debt crisis, and the global financial crisis. Using daily data from May 2007–August 2021, we employ the nonlinear aut...

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Autores principales: Tanin, Tauhidul Islam, Sarker, Ashutosh, Brooks, Robert, Do, Hung Xuan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Published by Elsevier B.V. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8889879/
https://www.ncbi.nlm.nih.gov/pubmed/35250120
http://dx.doi.org/10.1016/j.eneco.2022.105938
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author Tanin, Tauhidul Islam
Sarker, Ashutosh
Brooks, Robert
Do, Hung Xuan
author_facet Tanin, Tauhidul Islam
Sarker, Ashutosh
Brooks, Robert
Do, Hung Xuan
author_sort Tanin, Tauhidul Islam
collection PubMed
description The ongoing COVID-19 pandemic has inspired an examination of the oil–gold prices nexus during four recent crises: the COVID-19 pandemic, the gold market crash, the European sovereign debt crisis, and the global financial crisis. Using daily data from May 2007–August 2021, we employ the nonlinear autoregressive distributed lag method to reveal five novel findings. First, this study contrasts with much of the literature, which infers that the relationship between oil and gold prices is strongly positive. Second, we find no oil and gold price relationship in the long term during all the crisis periods. Third, oil prices have substantially lost their power to predict gold prices in recent times and the oil–gold price linkage is not functional across all crisis periods. Fourth, in the short term, only negative Brent and negative West Texas Intermediate price changes cause positive gold price changes during the pandemic and gold market crash, respectively. Fifth, Brent prices have shown no link to gold prices before COVID-19. We argue that gold prices are less sensitive to oil prices than ever, and the uncertainty resulting from the COVID-19 crisis has attracted investors to gold. Our main findings hold under robustness analyses using fractional cointegration/integration models, lag length, and heteroskedasticity-consistent standard errors.
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spelling pubmed-88898792022-03-02 Does oil impact gold during COVID-19 and three other recent crises? Tanin, Tauhidul Islam Sarker, Ashutosh Brooks, Robert Do, Hung Xuan Energy Econ Article The ongoing COVID-19 pandemic has inspired an examination of the oil–gold prices nexus during four recent crises: the COVID-19 pandemic, the gold market crash, the European sovereign debt crisis, and the global financial crisis. Using daily data from May 2007–August 2021, we employ the nonlinear autoregressive distributed lag method to reveal five novel findings. First, this study contrasts with much of the literature, which infers that the relationship between oil and gold prices is strongly positive. Second, we find no oil and gold price relationship in the long term during all the crisis periods. Third, oil prices have substantially lost their power to predict gold prices in recent times and the oil–gold price linkage is not functional across all crisis periods. Fourth, in the short term, only negative Brent and negative West Texas Intermediate price changes cause positive gold price changes during the pandemic and gold market crash, respectively. Fifth, Brent prices have shown no link to gold prices before COVID-19. We argue that gold prices are less sensitive to oil prices than ever, and the uncertainty resulting from the COVID-19 crisis has attracted investors to gold. Our main findings hold under robustness analyses using fractional cointegration/integration models, lag length, and heteroskedasticity-consistent standard errors. Published by Elsevier B.V. 2022-04 2022-03-02 /pmc/articles/PMC8889879/ /pubmed/35250120 http://dx.doi.org/10.1016/j.eneco.2022.105938 Text en Crown Copyright © 2022 Published by Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Tanin, Tauhidul Islam
Sarker, Ashutosh
Brooks, Robert
Do, Hung Xuan
Does oil impact gold during COVID-19 and three other recent crises?
title Does oil impact gold during COVID-19 and three other recent crises?
title_full Does oil impact gold during COVID-19 and three other recent crises?
title_fullStr Does oil impact gold during COVID-19 and three other recent crises?
title_full_unstemmed Does oil impact gold during COVID-19 and three other recent crises?
title_short Does oil impact gold during COVID-19 and three other recent crises?
title_sort does oil impact gold during covid-19 and three other recent crises?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8889879/
https://www.ncbi.nlm.nih.gov/pubmed/35250120
http://dx.doi.org/10.1016/j.eneco.2022.105938
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