Commodity Price Volatility and the Economic Uncertainty of Pandemics

Dimitrios Bakas and Athanasios Triantafyllou

Essex Finance Centre Working Papers from University of Essex, Essex Business School

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)
Date: 2020-04-24
New Economics Papers: this item is included in nep-agr and nep-rmg
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Citations: View citations in EconPapers (84)

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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:esy:uefcwp:27364

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