Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility

• DOI: 10.1016/j.eneco.2021.105514
• Publication Date: 2021-08-12T07:44:35Z
• Authors: Qian Ding; Jianbai Huang; Jinyu Chen
• Keywords: 8. Economic growth; 0211 other engineering and technologies; 02 engineering and technology

Abstract Utilising the time-frequency spillover framework constructed by Barunik and Křehlik (2018), this study explores the time-frequency risk spillovers among the oil, gold and foreign exchange (FX) markets using implied volatility indices. The results indicate that total spillovers are higher in the short term than in the long term. The impact of FX markets on oil and gold markets is greater than the reverse impact, and the FX markets of advanced economies are the main drivers. The results for the spillover network show that the short-term risk spillover effects are stronger during the European debt crisis and the COVID-19 pandemic. The euro, Australian dollar, and Canadian dollar are dominant risk transmitters during the crisis, and gold and oil are net risk receivers with high short-term vulnerability. Our results have significant implications for risk managers and portfolio managers at different investment horizons.