Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic

Abstract

Our research explores how the COVID-19 pandemic has influenced the asymmetric spillover effects in the oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily gold and oil price data, 1) we find evidence of spillover only from the oil to the gold market and that this effect is stronger during the pandemic and 2) we conclude that a negative information shock in the oil market has a larger impact on gold return volatility compared to a positive shock and that this asymmetric spillover effect intensified during the pandemic.