Risk transmission from the COVID-19 to metals and energy markets

We examine the risk transmission from the COVID-19 to metal (precious and industrial) and energy markets using the BEKK-MGARCH model. The findings reveal the significant and negative volatility transmission from the COVID-19 to gold, palladium, and brent oil markets, suggesting the safe-haven proper...

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Detalles Bibliográficos
Autor principal: Yousaf, Imran
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9606204/
https://www.ncbi.nlm.nih.gov/pubmed/36317126
http://dx.doi.org/10.1016/j.resourpol.2021.102156
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author Yousaf, Imran
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description We examine the risk transmission from the COVID-19 to metal (precious and industrial) and energy markets using the BEKK-MGARCH model. The findings reveal the significant and negative volatility transmission from the COVID-19 to gold, palladium, and brent oil markets, suggesting the safe-haven properties of these markets. The COVID-19 risk is not transmitted to the industrial metal market, whereas the rise in COVID-19 volatility leads to an increase in WTI oil market volatility. These results provide useful insights to investors and policymakers regarding risk management, asset pricing, and financial market stability during the COVID-19 pandemic.
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spelling pubmed-96062042022-10-27 Risk transmission from the COVID-19 to metals and energy markets Yousaf, Imran Resour Policy Article We examine the risk transmission from the COVID-19 to metal (precious and industrial) and energy markets using the BEKK-MGARCH model. The findings reveal the significant and negative volatility transmission from the COVID-19 to gold, palladium, and brent oil markets, suggesting the safe-haven properties of these markets. The COVID-19 risk is not transmitted to the industrial metal market, whereas the rise in COVID-19 volatility leads to an increase in WTI oil market volatility. These results provide useful insights to investors and policymakers regarding risk management, asset pricing, and financial market stability during the COVID-19 pandemic. Elsevier Ltd. 2021-10 2021-05-26 /pmc/articles/PMC9606204/ /pubmed/36317126 http://dx.doi.org/10.1016/j.resourpol.2021.102156 Text en © 2021 Elsevier Ltd. 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
Yousaf, Imran
Risk transmission from the COVID-19 to metals and energy markets
title Risk transmission from the COVID-19 to metals and energy markets
title_full Risk transmission from the COVID-19 to metals and energy markets
title_fullStr Risk transmission from the COVID-19 to metals and energy markets
title_full_unstemmed Risk transmission from the COVID-19 to metals and energy markets
title_short Risk transmission from the COVID-19 to metals and energy markets
title_sort risk transmission from the covid-19 to metals and energy markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9606204/
https://www.ncbi.nlm.nih.gov/pubmed/36317126
http://dx.doi.org/10.1016/j.resourpol.2021.102156
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