Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach

Economic policy is a major determinant of investment and financial decisions;Moreover, prices of precious metals are highly influenced by any uncertainty recorded in the global economic policy. Therefore, the prime consideration of the authors is to assess how global economic policy uncertainty influences the volatility of precious metals prices;particularly "gold, palladium, platinum, and silver” in the pre and during the COVID-19 pandemic. This research analyzed the full sample period (the 1997–2022), pre-COVID period (1997–2019), and during the COVID period (2020−2022) to evaluate the impact during different sample periods. Therefore, the GARCH-MIDAS approach is employed at the data set of different frequencies, i.e., monthly data of GEPU and daily data of precious metals. The results reveal a significant nexus between global GEPU and precious metals price volatility. The findings infer that any uncertainty recorded in global economic policy escalate the price volatility of gold, palladium, platinum, and silver prices. The present study increments the existing literature and provides insights for future scholars, investors, and policymakers. © 2023 Elsevier B.V.

The European Central Bank and green finance: How would the green quantitative easing affect the investors' behavior during times of crisis?

In July 2021, the European central bank (ECB) announced the application of new environmental criteria to purchase private assets as part of its Quantitative Easing (QE) program. Using a Bayesian VAR model with time varying parameters and stochastic volatility (TVP-BVAR-SV), we investigate the transmission of Green bond shocks to the stock market during the pre-and-post COVID-19 pandemic. We document a nonlinear relation between the green bonds and the green equities. Our findings suggest that the ECB's Green QE can drive investors towards green investment in the stock market through the green bond market during the non-crisis period. However, we show that the proper transmission of Green QE shocks to the stock market depends on the economic conditions and could not be effective during the crisis period. Our results also support previous findings that state the growing demand for sustainable investing after COVID-19. These findings have important implications for investment professionals, policymakers, and environmentally concerned actors. © 2022 Elsevier Inc.

Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions

This paper investigates the directional causal relationship and information transmission among the returns of West Texas Intermediate (WTI), Brent, major cryptocurrencies, and stablecoins by drawing on daily data from July 2019 to July 2020. Applying effective transfer entropy, a non-parametric statistic, the results show that the direction of the causal relationship and the nature of information spillovers changed after the COVID-19 pandemic. More precisely, our findings reveal that WTI and Brent are leading the prices of Bitcoin and Bitcoin Cash. Conversely, Bitcoin futures and stablecoins (TrueUSD and USD Coin) are leading WTI and Brent prices. In addition, the stablecoin Tether became a leader against Brent prices after the pandemic, although it is still following WTI prices. Moreover, Ethereum and USD coin preserved their position as leaders against Brent prices. Interestingly, our results also reveal that Ethereum, Litecoin, and Ripple preserved their position as leaders of WTI prices. The change in the nature of directional causality and the spillover effect after the COVID-19 crisis provide valuable information for practitioners, investors, and policymakers on how the ongoing pandemic influences the connection and network correlation among the energy, cryptocurrency, and stablecoin markets. © 2022 Elsevier Inc.