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Hedging oil price risk with gold during COVID-19 pandemic
Resources Policy Số , năm 2021 (Tập 70, trang -)
ISSN: 3014207
ISSN: 3014207
DOI: 10.1016/j.resourpol.2020.101897
Tài liệu thuộc danh mục:
Article
English
Từ khóa: Gold; Risk assessment; Daily datum; GARCH models; Oil Prices; Optimal portfolios; Portfolio managers; Rebalancing; Volatile oil; COVID-19; crude oil; disease spread; epidemic; gold; numerical model; palladium; platinum; silver; Crude oil price
Tóm tắt tiếng anh
This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before and during the pandemic. Our empirical results find gold as a significant safe haven against oil price risks. The optimal portfolio and hedging analyses conducted also validate the hedging effectiveness of gold against risk associated with oil. The robustness of our results is further confirmed using three other prominent precious metals - silver, platinum, and palladium. In sum, our results are useful for investors and portfolio managers that are desirous of using gold and other precious metals as portfolio rebalancing tools to minimize or circumvent risks associated with volatile oil returns. � 2020 Elsevier Ltd
