Commodity Price Volatility and the Economic Uncertainty of Pandemics

Dimitrios Bakas and Athanasios Triantafyllou ()
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Athanasios Triantafyllou: Essex Business School, University of Essex, UK

Working Paper series from Rimini Centre for Economic Analysis

Abstract: In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific, we explore the impact of economic uncertainty related to global pandemics on the volatility of the S&P GSCI commodity 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. Our findings remain robust to a series of robustness checks.

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: 2020-04
New Economics Papers: this item is included in nep-agr, nep-fmk and nep-rmg
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http://rcea.org/RePEc/pdf/wp20-12.pdf

Related works:
Journal Article: Commodity price volatility and the economic uncertainty of pandemics (2020)
Working Paper: Commodity Price Volatility and the Economic Uncertainty of Pandemics (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:20-12

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