While the literature is obviously flooded with studies on the nexus between oil and metal market, the volatility connectedness dynamics that measures the forward and backward spillover linkage between different classes of oil price shocks and the metal market remains understudied. Thus, little is known about the feedback risk transmissions between individual components of oil shocks and globally traded metals. Extending the recent work of Mokni et al. (2020) which partly addresses this concern, we find strong connectedness between the four different types of oil shocks considered and five precious and industrial metals. Besides, all the oil shocks serve as net pairwise receivers of volatility spillovers, showcasing the increased financialization of oil, but its inability to hedge investors in all the metals. In entirety, gold is a net shock receiver in the system, indicating its inappropriateness to provide diversification benefits for other assets. Another important discovery is that the strong connectedness is found to be driven by economic policy uncertainty both for causality-in-conditional mean and causality-in-conditional variance. Appropriate policy suggestions are drawn accordingly.

虽然文献中显然充斥着关于石油和金属市场之间关系的研究，但衡量不同类别的石油价格冲击与金属市场之间的前向和后向溢出联系的波动连通性动态仍未得到充分研究。因此，人们对石油冲击的各个组成部分与全球交易金属之间的反馈风险传递知之甚少。扩展 Mokni 等人最近的工作。(2020) 部分解决了这一问题，我们发现所考虑的四种不同类型的石油冲击与五种贵金属和工业金属之间存在很强的联系。此外，所有石油冲击都是波动性溢出的净成对接收器，这表明石油金融化程度提高，但它无法对冲所有金属的投资者。总的来说，黄金是系统中的净冲击接收器，表明它不适合为其他资产提供多元化收益。另一个重要发现是发现强连通性是由条件均值因果关系和条件方差因果关系的经济政策不确定性驱动的。据此提出相应的政策建议。