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This paper examines the dependence structure and the portfolio allocation characteristics of a main industrial portfolio metals (gold, platinum, palladium, aluminum, silver, copper, zinc, lead, and nickel), and of an agricultural commodities portfolio (wheat, corn, soybeans, coffee, sugar cane, sugar beets, cocoa, cotton, and lumber). Our methodology is based on regular vine copulas and the conditional Value-at-Risk. The motivation to investigate the dependence structure and connectedness between agricultural, and metal commodities is to identify ways in which agricultural and metal commodities can hedge each other and to explore the possibilities of parallel investments. The results indicate that the dependence dynamics of the main metals portfolio are characterized by symmetric features. However, the dependence dynamics of the agricultural commodities portfolio are characterized by symmetric and asymmetric features; symmetric dynamics are predominant. Finally, the metal commodities portfolio is observed to be less risky for financial resource allocation during the global financial crisis. NRF-2022S1A5A2A01038422 info:eu-repo/semantics/publishedVersion

Refereed/Peer-reviewed This paper examines the asymmetric spillovers and connectedness between the spot prices of West Texas Intermediate crude oil and six popular currencies—the Euro, Japanese Yen, British Pound, Australian Dollar, Swiss Franc, and Canadian Dollar. We analyze the asymmetric realized volatility spillovers spot prices as well as the higher moments such as their realized skewness and kurtosis. The estimated results indicate that these markets are strongly interconnected and that the currencies of larger economies as well as resource exporters are mainly net transmitters of volatility. However, this attribute is time-varying, especially during global economic events/shocks. The asymmetric volatility analysis finds that bad volatilities trump good ones on average. This attribute of the sample markets is also time-varying. The evaluation of directional networks in semi-variances reveals the dominance of bad volatilities over good ones and that bad volatilities from the currencies of larger and resource-based economies and the crude oil market are imparted for the most part. Moreover, the bad volatility of the British Pound, especially in the wake of Brexit, is a key contributor of its good volatility. However, in the wake of the COVID-19 pandemic, currencies of resource-based economies as well as the crude oil appear to impart small magnitudes of good volatilities. These findings have important implications for policymakers and highlight the need for responses tailored to different periods and markets.

This 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. info:eu-repo/semantics/publishedVersion

This paper re-examines the gold-inflation dependence, with emphasis on the empirical validity of the inflation-hedging property of gold for six major countries (China, India, Japan, France, United Kingdom, and the United States) with large gold markets, using the relatively novel techniques the Quantile-on-Quantile (QQ) and the causality-in- quantiles. The main empirical QQ result shows a positive relationship between gold and inflation for these countries. The inflation-hedging property of gold varies during booms and recessions, and thus the hedging decisions should be made in consideration of the asymmetric nature of the gold-inflation link during different economic conditions. Using the nonparametric causality-in-quantiles method, we find a significant Granger asymmetric causality in the mean and the variance from inflation to gold for China, Japan, France and the UK, except for the extreme (lower and higher) quantiles, indicating that gold may serve as a hedge against inflation only in the mid-quantile ranges or normal economic conditions.

This paper examines price-switching spillovers between the US and Chinese stock, crude oil, and gold futures markets before and during the COVID-19 pandemic. Using a Markov-switching vector autoregressive model, we show that stock markets were mainly influenced by their own shocks, with effects that were sensitive to regime shifts. Connectedness network analysis reveals that gold and stock markets were net contributors (receivers) of spillovers in the low-volatility regime (high-volatility regime), while oil was a major receiver (contributor) of spillovers in the low-volatility regime (high volatility regime). Regimes were mainly low-volatility from January 2019 to February 2020 and high-volatility from March 2020 to May 2020. We conclude that the COVID-19 pandemic intensified spillovers from commodity markets to the US and Chinese stock markets.

This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to 15-min interval intraday data. The results show strong evidence of asymmetric multifractality that increases as the fractality scale increases. Moreover, multifractality is especially higher in the downside (upside) trend for Brent oil (gold), and this excess asymmetry has been more accentuated during the COVID-19 outbreak. Before the outbreak, the gold (oil) market was more inefficient during downward (upward) trends. During the COVID-19 outbreak period, we see that the results have changed. More precisely, we find that gold (oil) is more inefficient during upward (downward) trends. Gold and oil markets have been inefficient, particularly during the outbreak. The efficiency of gold and oil markets is sensitive to scales, market trends, and to the pandemic outbreak, highlighting the investor sentiment effect., Highlights • We examine the impacts of COVID-19 on the asymmetric multifractality of gold and oil. • Multifractality is especially higher in the downside (upside) trend for Brent oil (gold). • Before the COVID-19 outbreak, the gold (oil) market was more inefficient during downward (upward) trends. • During the COVID-19 outbreak, gold (oil) is more inefficient during upward (downward) trends. • Gold and oil have become more inefficient during the pandemic outbreak compared to the pre-COVID-19 period.

This study examines the quantile relationships among silver, gold, gold mining, oil and energy sector uncertainty indexes. Using a quantile cross-spectral approach, results show that the uncertainty indexes have a time- and quantile-dependent structure. Moreover, the extent of dependence is higher at the long term than at the short- and medium-terms, irrespective of time horizons. Gold and silver show negative and positive short-term dependence during bearish and bull market conditions, respectively, at two-day trading. The dependence switches to positive beyond two trading days. We find asymmetric dependence between crude oil and energy sector uncertainty indexes at two-day trading. The dependence is positive at medium and long terms. Furthermore, the magnitude of dependence between metal (gold, gold mining and silver) and energy uncertainty indexes (crude oil and energy sectors) is sensitive to market conditions.