We use TVP-VAR approach to analyze the connectedness between the COVID-19 induced global panic index (GPI) and precious metals return and volatility. We find evidence of positive connectedness between the GPI and precious metals with GPI being a shock transmitter and precious metals, especially gold, being net receivers. While silver shows the highest resistance to shocks, platinum and palladium present a time varying transmission pattern. Our results refute the safe-haven property of precious metals during the COVID-19 outbreak, with the exception of silver.

中文翻译：

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COVID-19引发恐慌对贵金属回报和波动的影响

我们使用 TVP-VAR 方法来分析 COVID-19 引起的全球恐慌指数 (GPI) 与贵金属回报和波动之间的联系。我们发现 GPI 与贵金属之间存在正相关性的证据，其中 GPI 是震荡发射器，而贵金属，尤其是黄金，则是净接收器。虽然白银显示出最高的抗冲击性，但铂和钯呈现出随时间变化的传输模式。我们的结果驳斥了 COVID-19 爆发期间贵金属的避险资产，但银除外。