The predictive power of macroeconomic uncertainty for commodity futures volatility

Zhuo Huang (), Fang Liang and Chen Tong

International Review of Finance, 2021, vol. 21, issue 3, 989-1012

Abstract: We investigate whether and to what extent macroeconomic uncertainty predicts the volatility of commodity futures. By examining 26 commodities in six categories, we find that the measure of aggregate macroeconomic uncertainty based on a large dataset has a significant predictive effect for commodity volatility. The predictive relationship holds both in‐sample and out‐of‐sample after controlling for lagged volatility. The extent of the predictability differs by commodity category, with energy, precious metals, and industrial metals futures having the most significant effect. For all commodities, the predictive power of macroeconomic uncertainty is stronger in more recent data and during recessions.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/irfi.12310

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:bla:irvfin:v:21:y:2021:i:3:p:989-1012

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1369-412X

Access Statistics for this article

International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman

More articles in International Review of Finance from International Review of Finance Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().