Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications

Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif, Muhammad Tahir Suleman, Sang Hoon Kang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

43 Citations (Scopus)


This paper examines the safe-haven and hedging potential of oil and gold against industrial metals and agricultural commodities using a novel approach of quantile-on-quantile regression (QQR). For empirical analysis, we use the data on these commodities from January 2000 to December 2018, which further splits up into two sub-periods based on the global financial crisis (GFC). The results from the time-varying correlation of oil (gold) with metals and agriculture commodities suggest that oil (gold) has a lower correlation with metals and agriculture in the pre-GFC period than post-GFC. Further, the QQR model for two time periods (pre-GFC and post-GFC) was used to examine whether oil (gold) serves as a hedge (safe-haven) during the two periods. We conclude that oil was a safe-haven for metals and agricultural commodities pre-GFC but lost that ability post-GFC. Finally, we analyze the hedge ratio and hedge effectiveness pre- and post-GFC and confirm that oil had higher hedge effectiveness than gold during the pre-GFC period.

Original languageEnglish
Article number105758
Number of pages15
JournalEnergy Economics
Early online date9 Dec 2021
Publication statusPublished - 1 Jan 2022
Externally publishedYes

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