Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model

Yıldırım D. Ç., Esen Ö., ERTUĞRUL H. M.

Resources Policy, vol.79, 2022 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 79
  • Publication Date: 2022
  • Doi Number: 10.1016/j.resourpol.2022.102939
  • Journal Name: Resources Policy
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Aerospace Database, Aquatic Science & Fisheries Abstracts (ASFA), Business Source Elite, Business Source Premier, Communication Abstracts, EconLit, Index Islamicus, INSPEC, Metadex, PAIS International, Pollution Abstracts, Public Affairs Index, Civil Engineering Abstracts
  • Keywords: DCC-GARCH, Oil, Precious metals, The COVID-19
  • Anadolu University Affiliated: Yes


It is frequently discussed in the literature that the correlation between low-correlation assets under ordinary market conditions may increase during crisis periods. To contribute to the ongoing debates, this paper empirically examines risk transmission between oil and precious metal markets induced by the COVID-19 pandemic using the DCC-GARCH model. The findings reveal evidence of a significant risk transmission between oil prices and precious metal prices, particularly during the onset of the COVID-19 pandemic. The findings point out that the negative relationship between oil and all precious metals returns in the pre-COVID-19 period has changed with the effect of the pandemic. In this process, it is revealed that the negative relationship between oil and gold has strengthened, but the negative relationship between oil and silver has weakened. In addition, the correlations between oil and platinum and palladium turn positive. The empirical findings imply that investors and portfolio managers seeking portfolio diversification and hedging opportunities in a high-risk environment such as the COVID-19 pandemic should consider gold and silver assets for investment.