Dynamic Energy-Financial Return Connectedness Between WTI Crude Oil, Gold, the U.S. Dollar, and Thai Equities: Evidence from a TVP-VAR with Stochastic-Volatility Paths

This study examines time-varying return connectedness among WTI crude oil, gold, the U.S. Dollar Index (DXY), and the Stock Exchange of Thailand (SET). A discount-factor TVP-VAR with separately estimated stochastic-volatility paths is applied to 4,206 synchronized daily observations from February 2008 to December 2025. Generalized forecast-error variance decompositions, directional connectedness, generalized impulse responses, prespecified crisis comparisons, and sensitivity checks are employed. Full-sample connectedness is low (mean TCI = 1.8004), with own-return shares of 97.7067%-98.6715%. During the cleaned Global Financial Crisis (GFC) window, mean TCI rises to 2.2968 versus 1.6315 outside the GFC; however, the lower median and insignificant rank-based tests indicate that the increase is concentrated in the upper tail. The clearest GFC feature is a gold-centered configuration: Gold-to-Oil transmission increases by 1.3723 percentage points, while Oil's net position remains close to zero and specification-sensitive. Gold is the strongest net transmitter and DXY the strongest receiver during the GFC, but their roles change across COVID-19 and Russia-Ukraine regimes. Impulse responses attenuate within approximately two days. The findings show that energy-financial transmission is weak on average, short-lived, and crisis-dependent, supporting conditional rather than structural interpretations of cross-market risk.