Analysis of crude oil and gold price volatility and their correlation during socio-economic crises

The recent COVID-19 pandemic has prompted researchers to examine the association between gold and oil prices during different crises. In this regard, four crises have been evaluated: the gold market crash, the European sovereign debt crisis, the global financial crisis, and the COVID-19 pandemic. This paper uses the nonlinear autoregressive distributed lag approach to discover five new insights utilizing daily data from July 2006 to September 2022. This research supports the prevailing view in the literature, which suggests a positive correlation between oil and gold prices. We also discover no long-term correlation exists between gold and oil prices throughout all crises. Moreover, the oil-gold price relationship does not work during all times of crises and has lost much of its former predictive potential. A short-term change in the price of gold is caused by a change in the price of Brent or West Texas Intermediate when both prices fall. To conclude, there was no correlation between Brent and gold prices before COVID-19. Investors have been drawn to gold because of the uncertainty caused by COVID-19 and that gold's price is now less volatile relative to oil prices than in the past. Our primary results are robust to alternative co-integration/integration model specifications, the integration lag, and the heteroskedasticity of the standard errors.