scholarly journals Quantile causality and dependence between crude oil and precious metal prices

2020 ◽  
Author(s):  
Muhammad Shafiullah ◽  
Sajid M. Chaudhry ◽  
Muhammad Shahbaz ◽  
Juan C. Reboredo
Keyword(s):  
Crude Oil ◽  
Precious Metal ◽  
Quantile Causality

scholarly journals Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis

2019 ◽  
Vol 11 (5) ◽  
pp. 1359
Author(s):  
Xianfang Su ◽  
Huiming Zhu ◽  
Xinxia Yang
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Causal Relationships ◽  
Causality Analysis ◽  
Futures Prices ◽  
Spot Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Heterogeneous Effects ◽  
Quantile Causality

The causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the fact that a booming or depressing oil market produces heterogeneous investment behaviors, this study applied a quantile causality framework to capture different causalities across various quantile levels and found that the causal relationships between crude oil spot and futures prices significantly derive from tail quantile intervals and appear as heterogeneous effects. Before the Iraq War, crude oil spot and futures prices were mutually Granger-caused at lower quantile levels, and only futures prices led spot prices at upper quantile levels. Since the war, a clear bidirectional causality has existed at the upper quantile levels, but only in lower quantile levels have futures prices led spot prices. These results provide useful information to investors using crude spot or futures prices to hedge or manage downside or upside risks in their portfolios.

scholarly journals The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Yue Shang ◽  
Xiaodan Chen ◽  
Yifeng Zhang ◽  
Yu Wei
Keyword(s):  
Infectious Disease ◽  
Crude Oil ◽  
Precious Metal ◽  
Futures Markets ◽  
Commodity Futures ◽  
Mixed Data ◽  
Data Sampling ◽  
Oil Futures ◽  
Crude Oil Futures

The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

scholarly journals Mixed-frequency Drivers of Precious Metal Prices

2017 ◽  
Vol 65 (6) ◽  
pp. 2007-2015 ◽  
Author(s):  
Matěj Liberda
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Precious Metal ◽  
Intrinsic Value ◽  
Precious Metals ◽  
Stock Index ◽  
Mixed Data ◽  
Data Sampling ◽  
Mixed Data Sampling ◽  
The Interest Rate

Lack of intrinsic value, hybrid nature of commodities and recent financialization of commodity markets make of understanding precious metals price moves complicated. Predicting future development of precious metals market can be more feasible if we discover what drives these markets and describe nature of the drivers. The aim of the paper is to explain metal price movements by assessing an impact of multiple economic and financial factors. Based on the literature review we study 8 possible macroeconomic and financial drivers. The data are collected from Bloomberg. We use mixed-data-sampling methodology that enables me to study drivers of various frequencies (daily and monthly) simultaneously in a single model. Results show that the interest rate, the exchange rate, stock levels, stock index returns and crude oil returns are generally significant to drive precious metal markets. The stock index has the most significant impact on the metals returns that is negative. Furthermore, the results divide precious metals into two groups with gold and silver on the one hand and platinum and palladium on the other. The first group is worse explained by considered drivers. Moreover, the interest rate does not have any impact on the price development of gold and silver and crude oil returns influence the pair negatively, contrary to the second pair of platinum and palladium.

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