Commodity price volatility and the economic uncertainty of pandemics
Dimitrios Bakas and
Athanasios Triantafyllou
Economics Letters, 2020, vol. 193, issue C
Abstract:
We empirically investigate the impact of economic uncertainty related to global pandemics on the volatility of the broad commodity price index as well as on the sub-indexes of crude oil and gold. The results show that uncertainty related to pandemics have a strong negative impact on the volatility of commodity markets and especially on crude oil market, while the effect on gold market is positive but less significant.
Keywords: Pandemics; Commodity markets; Economic uncertainty; Volatility (search for similar items in EconPapers)
JEL-codes: C32 I10 Q02 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301890
DOI: 10.1016/j.econlet.2020.109283
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