Abstract:

In this paper, it is aimed to determine the possible existence of return and volatility spillover effect between oil price and precious metal prices such as gold, silver, platinum and palladium. For this purpose, using daily data between January 2, 1990 and March 10, 2023, the possible existence of the spillover effect between oil price and precious metal prices was investigated with the causality test in variance proposed by Hong (2001). The causality-in-mean test results show that there are strong causal links between the price of oil and precious metals other than gold. Accordingly, the change in the oil price affected the precious metal prices other than gold; On the other hand, it was determined that the changes in palladium, silver and platinum prices also affected the oil price with a lag. The causality-in-variance test results show that there is a bidirectional volatility spillover effect between the oil market and the precious metals market. Finally, it is seen that the results of the time-varying causality test are also consistent with the variance causality test results.

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