The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

Hedi Ben Haddad, Imed Mezghani and Abdessalem Gouider
Additional contact information
Hedi Ben Haddad: Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University, Riyadh 13318, Saudi Arabia
Imed Mezghani: Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University, Riyadh 13318, Saudi Arabia
Abdessalem Gouider: Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University, Riyadh 13318, Saudi Arabia

Economies, 2021, vol. 9, issue 2, 1-22

Abstract: The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals. The sample covers the period from January 1960 to June 2020. The estimated commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In addition, the time-varying connectedness analysis indicates that the macroeconomic uncertainty has persistent spillover effects on the commodity uncertainty, especially during the recent COVID-19 pandemic period. It has also found that the energy uncertainty shocks are the main drivers of connectedness among commodity markets, and that fats and oils uncertainty is the influence driver of uncertainty spillovers among agriculture commodities. The achieved results are of important significance to policymakers, firms, and investors to build accurate forecasts of commodity price uncertainties.

Keywords: commodity prices; forecasting; dynamic factor model; time-varying parameters; economic and financial uncertainty (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.mdpi.com/2227-7099/9/2/91/pdf (application/pdf)
https://www.mdpi.com/2227-7099/9/2/91/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:9:y:2021:i:2:p:91-:d:575121

Access Statistics for this article

Economies is currently edited by Ms. Adore Zhou

More articles in Economies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().