Extreme market conditions and uncertainty spillovers in precious metals: evidence from a quantile-on-quantile connectedness framework

Abstract

Precious metals historically have been adopted as an effective hedging instrument by investors due to their price dynamics shaped in line with economic and financial risks. Especially in recent years, financial crises, geopolitical uncertainties and pandemics have further increased the strategic importance of these metals. This study examines the risk spillovers between global uncertainty measures such as the volatility index (VIX), the oil price volatility index (OVX), and geopolitical risk (GPR), and the most traded precious metals: gold, silver, and platinum. Using a daily dataset covering the period from May 11, 2007, to October 27, 2025, we employ the quantile-on-quantile connectedness approach to identify linkages during periods of global turmoil. Thus, going beyond traditional mean-based and standard single-quantile connectedness models, we identify tail dependence between global uncertainty measures and precious metals across different quantiles. Several important findings emerged from the analysis. First, connections between uncertainties and precious metals are weak under normal market conditions but quite high under extreme conditions. The strongest connections occur in the highest quantiles of VIX and OVX (0.95) and the lowest quantiles of precious metal returns (0.05). In contrast, the strongest connections between GPR and precious metals occur at the lowest quantiles (0.05–0.05). Second, uncertainty measures act as net risk transmitters at extreme quantiles. Finally, during periods of major global turmoil such as the 2008 Global Financial Crisis, the 2014–2016 oil price collapses, the 2018 US–China trade war, and the COVID-19 pandemic, the connections become symmetrical. These findings indicate that the connectedness structures between uncertainties and precious metals varies depending on the source of the uncertainty and market conditions. Therefore, our study is informative for market participants and academics.