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

【Author】 Yousaf, Imran

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】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.

【Keywords】The COVID-19; Precious metals; Industrial metals; Energy market; The BEKK-MGARCH

【发表时间】2021 OCT

【收录时间】2022-01-01

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