TY - JOUR
T1 - Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications
AU - Naeem, Muhammad Abubakr
AU - Hasan, Mudassar
AU - Arif, Muhammad
AU - Suleman, Muhammad Tahir
AU - Kang, Sang Hoon
N1 - Funding information: Muhammad Abubakr Naeem gratefully acknowledges the support of the Science Foundation Ireland under grant number 16/SPP/3347. Sang Hoon Kang acknowledges the financial support by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2020S1A5B8103268).
PY - 2022/1/1
Y1 - 2022/1/1
N2 - 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.
AB - 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.
KW - Agriculture commodities
KW - Metals
KW - Oil and gold
KW - Quantile-on-quantile
UR - http://www.scopus.com/inward/record.url?scp=85122476691&partnerID=8YFLogxK
U2 - 10.1016/j.eneco.2021.105758
DO - 10.1016/j.eneco.2021.105758
M3 - Article
AN - SCOPUS:85122476691
SN - 0140-9883
VL - 105
JO - Energy Economics
JF - Energy Economics
M1 - 105758
ER -