Unraveling dynamic connectedness in the precious metals market: a Quantile Vector Autoregression (QVAR) approach
APPLIED ECONOMICS LETTERS, cilt.0, ss.1-8, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 0
- Basım Tarihi: 2026
- Doi Numarası: 10.1080/13504851.2026.2763012
- Dergi Adı: APPLIED ECONOMICS LETTERS
- Derginin Tarandığı İndeksler: Business Source Ultimate (EBSCO), Scopus, Social Sciences Citation Index (SSCI), IBZ Online, ABI/INFORM, EconLit, Geobase, Public Affairs Index
- Sayfa Sayıları: ss.1-8
- İstanbul Gelişim Üniversitesi Adresli: Evet
Özet
This study analyzes the dynamic connectedness in the precious metals market from 8 December 2019 to 22 December 2025. The assets consist of gold, silver, platinum, and palladium. Results show that gold, silver, and platinum generally act as net transmitter (except for gold during the extreme gain regime), but the palladium is always found as net receiver at each quantile. Although palladium exhibits the highest volatility based on standard deviation, it consistently functions as a net receiver of shocks, absorbing spillovers from other metals. Overall, connectedness intensifies during extreme market conditions, potentially reducing diversification benefits and highlighting stronger spillover effects across assets.