We investigate whether and to what extent macroeconomic uncertainty predicts the volatility of commodity futures. By examining 26 commodities in six categories, we find that the measure of aggregate macroeconomic uncertainty based on a large dataset has a significant predictive effect for commodity volatility. The predictive relationship holds both in-sample and out-of-sample after controlling for lagged volatility. The extent of the predictability differs by commodity category, with energy, precious metals, and industrial metals futures having the most significant effect. For all commodities, the predictive power of macroeconomic uncertainty is stronger in more recent data and during recessions.

中文翻译：

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宏观经济不确定性对商品期货波动的预测能力

我们调查宏观经济不确定性是否以及在多大程度上预测了商品期货的波动性。通过考察 6 大类 26 种商品，我们发现基于大数据集的总体宏观经济不确定性测度对商品波动具有显着的预测作用。在控制滞后波动率后，预测关系在样本内和样本外均成立。可预测性的程度因商品类别而异，能源、贵金属和工业金属期货的影响最为显着。对于所有商品，宏观经济不确定性的预测能力在最近的数据和衰退期间更强。