Bubble contagion effect between the main precious metals

Purpose: This study examines the extent to which gold and silver bubbles are correlated and which metal's bubble spills over to the other. In addition, the overlap in bubble-like episodes for the two metals is demonstrated and the influence of crises (global financial crises, European debt crisis and the COVID-19 pandemic) on the development of these episodes is compared. Design/methodology/approach: This study proposes a two-step approach. In the first step, price bubbles are identified based on the backward sup augmented Dickey–Fuller of Phillips et al. (2015a, 2015b) and modified by Phillips and Shi (2018). In the second step, the correlation in the contagion effect of the bubbles between the two precious metal prices is measured using a nonparametric regression with a time-varying coefficient approach developed by Greenaway-McGrevy and Phillips (2016). Findings: The findings suggest that the safe-haven property of gold and silver during financial market turbulence induces excessive price increases beyond their fundamental values. Furthermore, the results indicate that bubbles are contagious among precious metal markets and flow mainly from gold to silver;these findings are associated with the period after 2005, particularly during the global financial crisis. A contagious bubble effect is not found between gold and silver during the coronavirus disease 2020 pandemic. Practical implications: The results suggest that financial market participants should consider portfolio weights in precious markets in light of the bubble correlation between gold and silver, especially during crises. Originality/value: To the best of the authors' knowledge, this is the first study that explores the correlation of bubble-like episodes between gold and silver. © 2022, Emerald Publishing Limited.

Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches

Credit risk linkage has primarily been examined from the lens of developed country markets and using volatility index. In this paper, we investigate the interconnectedness and causality among the global financial market risks during crisis periods, using partial and multiple wavelet coherence analysis. Specifically, we employ financial sector credit default swap indices from three regions (Asia, North America, and Europe) from January 2008 to June 2021 as a proxy for risk in the financial industry. The sample period includes three global crises, namely the 2008 global financial crisis, the European debt crisis, and the current coronavirus disease of 2019 pandemic. Our findings can be summarized as follows. First, credit risks in global financial markets are highly connected across the three regions. However, if the impact of a particular region is not considered, the other two regions become less connected in terms of credit risk. Second, considerable interactions among the credit risk of financial industries in the three regions occur during crisis periods. Third, significant relationships between credit risks in Asia and North America ensue in the long-term, which is independent of the European region. Our findings provide significant implications for financial market participants, as the credit risk transmission can directly affect not only financial market stability but also portfolio risk exposure.

Analysis of the risk-transmitting nature of European stock indices.

This study analyses the structural changes in European stock market indices using a minimal spanning tree and a Markov-switching model that examines the regime-changes in betweenness and closeness in addition to topological changes. The authors aim is to highlight the similarities and differences of previous recessions, namely the subprime mortgage crisis of 2008, the European sovereign debt crisis of 2010, and the recent period of Covid-19. Focusing on the structural changes in the graph, the appearance of a central index transmitting shocks is sought. The results show that there is a constant change in the stock market network, where stock market indices are linked to each other mainly through a central index in turbulent periods, while relationships become more diversified in calm periods. (English) [ FROM AUTHOR] A tanulmány az európai részvénypiacok szerkezeti változásait elemzi minimális feszítőfa és Markov-féle rezsimváltó modell segítségével, amely a topológiai változások mellett a közelség és a közöttiség segítségével vizsgálja az adatokat. A szerzők célja, hogy rámutassanak a korábbi receszsziók hasonlóságaira és különbségeire, nevezetesen a 2008-as másodlagos jelzálogpiaci válságra, a 2010-es évek európai államadósság-válságára és a közelmúltban a Covid19-járvány időszakára. A szerkezeti változásokra fókuszálva egy sokkokat továbbító központi index megjelenését keresik. Folyamatos változást tapasztalnak a tőzsdei hálózatban, ahol a tőzsdeindexek a turbulens időszakokban főként egy központi indexen keresztül kapcsolódnak egymáshoz, míg a nyugodt időszakokban a kapcsolatok diverzifikáltabbá válnak. (Hungarian) [ FROM AUTHOR] Copyright of Hungarian Statistical Review / Statisztikai Szemle is the property of Hungarian Central Statistical Office and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

Voting for Eurosceptic Parties and Societal Polarization in the Aftermath of the European Sovereign Debt Crisis

The question of whether people voting for Eurosceptic parties in almost every European country is simply a democratic way of expressing a political opinion, or if it presents a threat to democracy by giving a voice to Eurosceptic parties that challenge the EU in a populist manner, has not lost its currency since the 2008 European sovereign dept crisis. In fact, at the first glance, the situation of anti-Corona protestors in Canada or Germany seems comparable. But contrary to some scholars, I argue that it was the economic crisis that first visualized the interdependency of the EU members to the citizens, and was, therefore, the ideal setting for populists to create an atmosphere of mistrust, with the help of the media in some countries. This Research Note addresses the undertheorized link between populism and crisis, by developing a theoretical model focussing on the aggregate level, which shows that EU-membership duration is a crucial factor in explaining voting for Eurosceptic parties. I use data from the European Social Survey and compare a period from 2002 to 2016, conducting trend analysis and difference-in-difference-estimation. My analysis reveals that Eurosceptic parties are more successful in those countries, where anti-EU protest has already been established before. In addition, I find a delayed crisis effect. This could be important for our understanding of the current Covid-19-crisis, which is a health crisis in first place, but a threat to democratic values and instrumentalized by populists as well. [ FROM AUTHOR] Copyright of Statistics, Politics & Policy is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

Bubble contagion effect between the main precious metals

Purpose: This study examines the extent to which gold and silver bubbles are correlated and which metal’s bubble spills over to the other. In addition, the overlap in bubble-like episodes for the two metals is demonstrated and the influence of crises (global financial crises, European debt crisis and the COVID-19 pandemic) on the development of these episodes is compared. Design/methodology/approach: This study proposes a two-step approach. In the first step, price bubbles are identified based on the backward sup augmented Dickey–Fuller of Phillips et al. (2015a, 2015b) and modified by Phillips and Shi (2018). In the second step, the correlation in the contagion effect of the bubbles between the two precious metal prices is measured using a nonparametric regression with a time-varying coefficient approach developed by Greenaway-McGrevy and Phillips (2016). Findings: The findings suggest that the safe-haven property of gold and silver during financial market turbulence induces excessive price increases beyond their fundamental values. Furthermore, the results indicate that bubbles are contagious among precious metal markets and flow mainly from gold to silver;these findings are associated with the period after 2005, particularly during the global financial crisis. A contagious bubble effect is not found between gold and silver during the coronavirus disease 2020 pandemic. Practical implications: The results suggest that financial market participants should consider portfolio weights in precious markets in light of the bubble correlation between gold and silver, especially during crises. Originality/value: To the best of the authors’ knowledge, this is the first study that explores the correlation of bubble-like episodes between gold and silver. © 2022, Emerald Publishing Limited.

Does oil impact gold during COVID-19 and three other recent crises?

The ongoing COVID-19 pandemic has inspired an examination of the oil-gold prices nexus during four recent crises: the COVID-19 pandemic, the gold market crash, the European sovereign debt crisis, and the global financial crisis. Using daily data from May 2007-August 2021, we employ the nonlinear autoregressive distributed lag method to reveal five novel findings. First, this study contrasts with much of the literature, which infers that the relationship between oil and gold prices is strongly positive. Second, we find no oil and gold price relationship in the long term during all the crisis periods. Third, oil prices have substantially lost their power to predict gold prices in recent times and the oil-gold price linkage is not functional across all crisis periods. Fourth, in the short term, only negative Brent and negative West Texas Intermediate price changes cause positive gold price changes during the pandemic and gold market crash, respectively. Fifth, Brent prices have shown no link to gold prices before COVID-19. We argue that gold prices are less sensitive to oil prices than ever, and the uncertainty resulting from the COVID-19 crisis has attracted investors to gold. Our main findings hold under robustness analyses using fractional cointegration/integration models, lag length, and heteroskedasticity-consistent standard errors.

The static and dynamic connectedness of environmental, social, and governance investments: International evidence.

We investigate the connectedness of the most significant global equity indices that comprise companies with the highest environmental, social, and governance (ESG) performance. Motivated by the rapid growth of socially responsible investing during the last two decades, we examine whether these investments are prone to similar exogenous economic and financial shocks as their conventional counterparts. Employing a variety of influential macroeconomic and financial variables over the period 10/1/2007-4/15/2020, we document statistically significant and consistent transmissions between the employed equity indices throughout the sample period. In particular, the connectedness exhibits dynamic patterns during three periods: the European sovereign debt crisis, the systemic Greek problems, and the outbreak of the coronavirus pandemic. We also find that developed equity markets are the shock transmitters to Asian and other emerging markets. Our results highlight the risk of contagion and the diminishing portfolio diversification benefits of these equity indices during turbulent periods.