Volatility of International Commodity Prices in Times of Covid-19: Effects of Oil Supply and Global Demand Shocks

Hillary Ezeaku, Simplice Asongu and Joseph Nnanna

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the effects of oil supply and global demand shocks on the volatility of commodity prices in the metal and agricultural commodity markets using the SVAR model. The empirical evidence is based on real time daily closing international commodity prices covering the period 2 December 2019 to 1 October 2020. The findings are presented in cumulative impulse responses and variance decompositions. The former is utilized to examine the accumulated influence of structural shocks on the volatility of agricultural and metal commodities whereas the latter reflect the share of variation in the volatility of each commodity arising from each structural shock. Various patterns are provided on how metal and agricultural commodity prices have been influenced by the COVID-19 pandemic. Policy implications are discussed.

Keywords: Covid-9; Commodity Prices (search for similar items in EconPapers)
JEL-codes: H12 I12 O10 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (1)

Published in The Extractive Industries and Society 1.8(2021): pp. 257-270

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Related works:
Working Paper: Volatility of International Commodity Prices in Times of Covid-19: Effects of Oil Supply and Global Demand Shocks (2020)
Working Paper: Volatility of International Commodity Prices in Times of Covid-19: Effects of Oil Supply and Global Demand Shocks (2020)
Working Paper: Volatility of International Commodity Prices in Times of Covid-19: Effects of Oil Supply and Global Demand Shocks (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:107544

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