Does the volatility of commodity prices reflect macroeconomic uncertainty?

Marc Joëts (), Valérie Mignon () and Tovonony Razafindrabe ()
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Marc Joëts: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Tovonony Razafindrabe: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper analyzes the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. We rely on a robust measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators, and we estimate a structural threshold VAR (TVAR) model to assess whether the effect of macroeconomic uncertainty on commodity price returns depends on the degree of uncertainty. Our findings show that whereas the safe-haven role of precious metals is confirmed, agricultural and industrial markets are highly sensitive to the variability and the level of macroeconomic uncertainty, respectively. In addition, we show that the recent 2007-09 recession has generated an unprecedented episode of high uncertainty in numerous commodity markets that is not necessarily accompanied by a subsequent volatility in the corresponding prices, highlighting the relevance of our uncertainty measure in linking uncertainty to predictability rather than to volatility.

Keywords: Macroeconomic uncertainty; commodity prices; threshold vector autoregressive model. (search for similar items in EconPapers)
Date: 2015
Note: View the original document on HAL open archive server: https://hal.science/hal-04141423
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Related works:
Journal Article: Does the volatility of commodity prices reflect macroeconomic uncertainty? (2017)
Working Paper: Does the volatility of commodity prices reflect macroeconomic uncertainty? (2017)
Working Paper: Does the volatility of commodity prices reflect macroeconomic uncertainty ? (2016)
Working Paper: Does the volatility of commodity prices reflect macroeconomic uncertainty? (2016)
Working Paper: Does the volatility of commodity prices reflect macroeconomic uncertainty? (2016)
Working Paper: Does the volatility of commodity prices reflects macroeconomic uncertainty? (2016)
Working Paper: Does the volatility of commodity prices reflects macroeconomic uncertainty? (2016)
Working Paper: Does the volatility of commodity prices reflect macroeconomic uncertainty? (2015)
Working Paper: Does the volatility of commodity prices reflect macroeconomic uncertainty? (2015)
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