Abstract
This study provides a comprehensive examination of the dynamic interaction between the crude oil and gold markets amid Economic Policy Uncertainty (EPU), Climate Policy Uncertainty (CPU), Monetary Policy Uncertainty (MPU), Geopolitical Risk (GPR), and Equity Market Volatility (EMV), emphasizing the growing concerns over extreme risks and shocks driven by uncertainty. Using the time-varying Granger causality test and Time-Varying Parameter Vector Autoregression (TVP-VAR) approach, this study uncovers several key insights into the market dynamics of gold, crude oil, and uncertainty between January 2000 and July 2022. Firstly, our analysis reveals significant time-varying causal links between oil, gold, and uncertainty, particularly during major crises. Secondly, the pairwise spillover analysis demonstrates that gold and crude oil predominantly act as receivers of uncertainty, with uncertainty shocks serving as notable risk transmitters. Thirdly, the findings suggest that during extreme market conditions, the spillover effects among uncertainty, crude oil, and gold are more pronounced compared to normal market scenarios. These empirical insights contribute to the development of strategies for hedging investment risks in various uncertain environments by leveraging the interdependencies between the crude oil and gold markets
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