ABSTRACT
This study examined the risk connectedness and its asymmetry between oil, gold, and foreign exchange under the realized volatility, spillover index framework, and high-frequency data during the COVID-19 pandemic. It was found that: (1) At the beginning of the pandemic outbreak, the total volatility spillover in the system declined, which may indicate that the pandemic cuts the trading activities in the financial markets by inhibiting personnel mobility, then, the spillover experienced a short-term sharp rise due to panic. (2) The exchange rate had a significant risk connectedness with gold and international crude oil, but a restrict connectedness with domestic crude oil after the outbreak. These variations of risk transmission caused by the pandemic emerged later than the outbreak, reflecting a certain lag. (3) The impact of the pandemic on the asymmetric risk connectedness between oil, gold and the exchange rate was limited, and the risk transfer resulting from bad news was dominant during the sample period; however, gold was less affected by bad news than the oil and exchange rates. These findings suggested that the establishment of Chinese crude oil futures could restrain volatility spillovers from the exchange rate; the foreign exchange reserve structure should be optimized. Gold has been proved to have a hedging function with the crude oil, and its proportion in foreign exchange reserves should be appropriately increased.