Description
Title: Uncertainties about the dynamic spillover effects of macroeconomic and financial uncertainty on commodity markets
Abstract: The time-varying vector-autoregressive (TVP-VAR) model is used in this paper to analyze the uncertainty connectivity between commodity markets and macroeconomic uncertainty. The first goal is to accurately estimate commodity price uncertainty. Energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals are the eight main commodity markets we use. The sampling period spans the months of January 1960 and June 2020. It has been demonstrated that estimated commodity price uncertainties serve as leading rather than lagging indicators of uncertainty in commodity markets. Additionally, the time-varying connectedness analysis shows that there are persistent spillover effects between macroeconomic and commodity uncertainty, particularly during the most recent COVID-19 pandemic period. It has also been discovered that the main factors influencing commodity market connectivity are energy-related shocks, and that the uncertainty surrounding fats and oils has a significant impact on the uncertainty spillovers among agricultural commodities. The results obtained are crucial for policymakers, businesses, and investors to create precise forecasts of commodity price uncertainties.
Keywords: commodity prices; forecasting; dynamic factor model; time-varying parameters; eco-nomic and financial uncertainty
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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