The impact of uncertainty shocks on the volatility of commodity prices
Dimitrios Bakas () and
Journal of International Money and Finance, 2018, vol. 87, issue C, 96-111
In this paper, we empirically examine the impact of uncertainty shocks on the volatility of commodity prices. Using several alternative measures of economic uncertainty for the U.S., we estimate their effects on commodity price volatility through VAR analysis. We find that the latent uncertainty shocks have the most significant impact on commodity price volatility when compared to observable measures of economic uncertainty. In specific, our results show that the unobservable economic uncertainty measures of Jurado et al. (2015) have a significant and long-lasting positive effect on the volatility of commodity prices. Our findings indicate that a positive shock in unobservable macroeconomic and financial uncertainty leads to a persistent increase in the volatility of the broad commodity market index and of individual commodity prices, with the macroeconomic effect being more significant. Finally, we show that the impact is stronger in energy commodities compared to agricultural and metals markets.
Keywords: Economic uncertainty; Commodity prices; Volatility (search for similar items in EconPapers)
JEL-codes: C22 E32 G13 O13 Q02 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: The Impact of Uncertainty Shocks on the Volatility of Commodity Prices (2018)
Working Paper: The Impact of Uncertainty Shocks on the Volatility of Commodity Prices (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:87:y:2018:i:c:p:96-111
Access Statistics for this article
Journal of International Money and Finance is currently edited by J. R. Lothian
More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().