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The economic drivers of commodity market volatility

Marcel Prokopczuk (), Andrei Stancu and Lazaros Symeonidis ()

Journal of International Money and Finance, 2019, vol. 98, issue C, -

Abstract: We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with credit risk, financial market stress, and fluctuations in business conditions bear significant predictive ability for commodity market volatility. The documented predictability is mainly observed in the period after the financialization of commodity markets (i.e. post–2004) and it peaks during the 2008–2009 global financial crisis.

Keywords: Commodities; Economic uncertainty; Volatility; Financialization; Crisis (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:98:y:2019:i:c:4

DOI: 10.1016/j.jimonfin.2019.102063

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