Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic
使用QVAR和TVP-VAR方法分析疫情期间石油、黄金、白银、钯和铂市场的相互联系，发现原油和黄金是主要冲击传递者，而白银、钯和铂是主要冲击接收者，结果有助于投资者识别对意外冲击较不敏感的市场。
ABSTRACT This analysis aims to illuminate the interconnectedness of markets such as oil, gold, silver, palladium, and platinum during the COVID‐19 pandemic, employing the quantile vector autoregressive (QVAR) and time‐varying parameter vector autoregression (TVP‐VAR) analysis. These methods are particularly suitable for understanding the evolving dynamics of markets during the pandemic, as they account for varying levels of connectedness and spillover effects among different market segments. Moreover, this study explores spillover effects and conditional volatility among precious metal and oil markets across three distinct regimes: peak, recovery, and the full duration of the pandemic. Results indicate prominent connectedness among markets in all three samples, validating markets' sensitivity toward economic catastrophe like pandemic. Crude oil and gold are dominant shock‐transmitters; conversely, silver, palladium, and platinum are prominently considered as shock‐receivers across the majority of the quantiles. Furthermore, the results will assist relevant stakeholders to include markets that are less vulnerable to unforeseen shocks or unanticipated events.