Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic

ABSTRACT This analysis aims to illuminate the interconnectedness of markets such as oil, gold, silver, palladium, and platinum during the COVID‐19 pandemic, employing the quantile vector autoregressive (QVAR) and time‐varying parameter vector autoregression (TVP‐VAR) analysis. These methods are particularly suitable for understanding the evolving dynamics of markets during the pandemic, as they account for varying levels of connectedness and spillover effects among different market segments. Moreover, this study explores spillover effects and conditional volatility among precious metal and oil markets across three distinct regimes: peak, recovery, and the full duration of the pandemic. Results indicate prominent connectedness among markets in all three samples, validating markets' sensitivity toward economic catastrophe like pandemic. Crude oil and gold are dominant shock‐transmitters; conversely, silver, palladium, and platinum are prominently considered as shock‐receivers across the majority of the quantiles. Furthermore, the results will assist relevant stakeholders to include markets that are less vulnerable to unforeseen shocks or unanticipated events.