Nonlinear spillover effects between gold and oil prices in Vietnamese and global markets: A Quantile-on-Quantile approach
Main Article Content
Abstract
The COVID-19 pandemic and the subsequent economic recovery have heightened volatility and uncertainty in global financial markets, particularly in gold and crude oil markets. In Vietnam, SJC gold prices, global gold prices (XAU), and WTI crude oil prices are shaped by both global macroeconomic shocks and domestic market conditions. This study investigates the interdependence and spillover dynamics among these markets using the Quantile-on-Quantile Regression (QQR) approach, which allows for capturing nonlinear, asymmetric, and state-dependent relationships across different market conditions. The analysis covers two distinct periods, namely the COVID-19 crisis and the post-pandemic recovery phase. The findings highlight that spillover effects between gold and oil markets vary across quantiles and intensify under extreme market conditions, with notable differences in shock transmission roles across economic regimes. These results offer relevant insights for portfolio diversification, risk management, and policy formulation in the context of Vietnam’s increasing financial integration.
Keywords
Quantile-on-Quantile Regression (QQR); Spillover Effects; SJC; XAU; WTI
Article Details
Field of Economic (JEL Codes)
References
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