Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach
Abstract In recent years, global crisis events have become increasingly common. Gold, recognized as a safe asset, and crude oil, an essential industrial commodity, have attracted the attention of many scholars seeking to understand the impact of such crises on both. On the basis of a Markov regime-s...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Springer Nature
2024-12-01
|
| Series: | Humanities & Social Sciences Communications |
| Online Access: | https://doi.org/10.1057/s41599-024-04329-y |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1841559815538606080 |
|---|---|
| author | Yuankui Wang Xiaoquan Ding Pengwei Wang Ziwei Huang |
| author_facet | Yuankui Wang Xiaoquan Ding Pengwei Wang Ziwei Huang |
| author_sort | Yuankui Wang |
| collection | DOAJ |
| description | Abstract In recent years, global crisis events have become increasingly common. Gold, recognized as a safe asset, and crude oil, an essential industrial commodity, have attracted the attention of many scholars seeking to understand the impact of such crises on both. On the basis of a Markov regime-switching (MRS) model, copula function, and conditional value at risk (CoVaR) model, this paper proposes an MRS copula CoVaR model to investigate the changes in the level of dependence between these two assets and examine the risk spillover effects between them. This study obtains the following conclusions. (1) From 2018 to 2023, there are two distinct dependence regimes between the two assets. The tranquil regime is characterized by positive dependence, whereas the crisis regime is characterized by negative dependence. (2) In the crisis regime, there is downside risk spillover between the two assets, whereas in the tranquil regime, there is an upside risk spillover. These findings contribute to theoretical research and offer valuable insights for policymakers and investors in making informed decisions and developing appropriate investment strategies. |
| format | Article |
| id | doaj-art-6f61f2c56c8e4b58a11132ff03dca580 |
| institution | Kabale University |
| issn | 2662-9992 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Springer Nature |
| record_format | Article |
| series | Humanities & Social Sciences Communications |
| spelling | doaj-art-6f61f2c56c8e4b58a11132ff03dca5802025-01-05T12:11:33ZengSpringer NatureHumanities & Social Sciences Communications2662-99922024-12-0111111010.1057/s41599-024-04329-yImpact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approachYuankui Wang0Xiaoquan Ding1Pengwei Wang2Ziwei Huang3General Education Center, Zhengzhou Business UniversitySchool of Mathematics and Statistics, Henan University of Science and TechnologySchool of Statistics and Mathematics, Shandong University of Finance and EconomicsSchool of Mathematics and Statistics, Henan University of Science and TechnologyAbstract In recent years, global crisis events have become increasingly common. Gold, recognized as a safe asset, and crude oil, an essential industrial commodity, have attracted the attention of many scholars seeking to understand the impact of such crises on both. On the basis of a Markov regime-switching (MRS) model, copula function, and conditional value at risk (CoVaR) model, this paper proposes an MRS copula CoVaR model to investigate the changes in the level of dependence between these two assets and examine the risk spillover effects between them. This study obtains the following conclusions. (1) From 2018 to 2023, there are two distinct dependence regimes between the two assets. The tranquil regime is characterized by positive dependence, whereas the crisis regime is characterized by negative dependence. (2) In the crisis regime, there is downside risk spillover between the two assets, whereas in the tranquil regime, there is an upside risk spillover. These findings contribute to theoretical research and offer valuable insights for policymakers and investors in making informed decisions and developing appropriate investment strategies.https://doi.org/10.1057/s41599-024-04329-y |
| spellingShingle | Yuankui Wang Xiaoquan Ding Pengwei Wang Ziwei Huang Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach Humanities & Social Sciences Communications |
| title | Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach |
| title_full | Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach |
| title_fullStr | Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach |
| title_full_unstemmed | Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach |
| title_short | Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach |
| title_sort | impact of global crisis events on the dependence and risk spillover between gold and crude oil a regime switching copula approach |
| url | https://doi.org/10.1057/s41599-024-04329-y |
| work_keys_str_mv | AT yuankuiwang impactofglobalcrisiseventsonthedependenceandriskspilloverbetweengoldandcrudeoilaregimeswitchingcopulaapproach AT xiaoquanding impactofglobalcrisiseventsonthedependenceandriskspilloverbetweengoldandcrudeoilaregimeswitchingcopulaapproach AT pengweiwang impactofglobalcrisiseventsonthedependenceandriskspilloverbetweengoldandcrudeoilaregimeswitchingcopulaapproach AT ziweihuang impactofglobalcrisiseventsonthedependenceandriskspilloverbetweengoldandcrudeoilaregimeswitchingcopulaapproach |