Dynamic effects of the global common volatility on precious metals and energy markets: Fourier quantile-on-quantile and Fourier quantile regressions

IF 5.2 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2026-03-01 Epub Date: 2026-01-30 DOI:10.1016/j.jcomm.2026.100544

Muhammad Zubair Chishti , Mariya Gubareva , Oktay Özkan , Sorphasith Xaisongkham , Xuan Vinh Vo

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引用次数: 0

Abstract

We explore the dynamic effects of the global common volatility (GCV) on selected precious metals and energy commodities by employing the two advanced econometric methods: Fourier quantile-on-quantile regression and Fourier quantile regression. GCV induces volatility across gold, silver, and platinum markets in the short-, medium-, and long-term. However, short-term volatility in the silver market exhibits a negative relationship with GCV under both bearish and bullish conditions. Additionally, the oil, gas, and heating oil markets experience substantial losses due to GCV, with the impact intensifying from the short-to long-term across various market states. Moreover, the COVID-19 crisis and the ongoing Russia–Ukraine conflict have markedly strengthened volatility in precious metal and energy markets, reflecting an elevated level of GCV. Nonetheless, the natural gas markets exhibit a negative long-run relationship with GCV during the Russia-Ukraine conflict. Overall, our results underscore a strong interconnectedness between GCV and precious metals and energy markets, highlighting significant risks that global financial market volatility poses to these sectors.

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全球共同波动对贵金属和能源市场的动态影响：傅立叶分位数对分位数和傅立叶分位数回归

我们通过采用两种先进的计量经济学方法：傅立叶分位数对分位数回归和傅立叶分位数回归，探讨了全球共同波动率（GCV）对选定贵金属和能源商品的动态影响。GCV诱发黄金、白银和铂金市场的短期、中期和长期波动。然而，无论在看跌还是看涨条件下，白银市场的短期波动率都与GCV呈负相关。此外，由于GCV，石油、天然气和取暖油市场遭受了巨大损失，影响从短期到长期在各个市场状态加剧。此外，2019冠状病毒病危机和正在进行的俄罗斯-乌克兰冲突明显加剧了贵金属和能源市场的波动，反映出GCV水平上升。尽管如此，在俄罗斯-乌克兰冲突期间，天然气市场与GCV表现出负的长期关系。总体而言，我们的研究结果强调了GCV与贵金属和能源市场之间的紧密联系，凸显了全球金融市场波动对这些行业构成的重大风险。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.