Global Uncertainty, Macroeconomic Activity and Commodity Price

Yifan Shen (), Xunpeng Shi and Ting Zeng

MPRA Paper from University Library of Munich, Germany

Abstract: We extend Jurado et al. (2015)’s forecast-error-based uncertainty measure to the international context, and construct a new measure of global uncertainty. We examine dynamic causal effects among global uncertainty and other global macroeconomic variables, and provide two important applications of our global uncertainty measure by linking it to the price formation mechanism of oil and international uncertainty spillover effects. We show that the well-documented relation between uncertainty and real activities is not only a regional issue, but also a global phenomenon. Global uncertainty also plays a key role in determining commodity prices, as well as driving business cycle fluctuations in a certain economy.

Keywords: Global Uncertainty; International Economics; Commodity Price; Oil Price (search for similar items in EconPapers)
JEL-codes: C32 E32 F44 O13 (search for similar items in EconPapers)
Date: 2017-06-04, Revised 2018-11-17
New Economics Papers: this item is included in nep-mac and nep-opm
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Citations: View citations in EconPapers (6)

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