The purpose of this paper is to empirically analyze the impact of macroeconomic uncertainty on a large sample of 19 commodity markets.,The authors rely on Jurado et al.’s (2015) measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators and estimate a threshold VAR model to assess whether the impact of macroeconomic uncertainty on commodity prices differs under the high- or low-uncertainty state.,The findings show that positive macroeconomic uncertainty shocks affect commodity prices returns negatively on average and the impact of macroeconomic uncertainty is generally higher in high-uncertainty states compared with low-uncertainty states. Besides, although the safe-haven role of precious metals is confirmed, energy and industrial markets are more sensitive to short-run and long-run macroeconomic uncertainty, respectively.,The findings in this study suggest that commodity prices reflect not only the level of economic fundamental but also the volatility of economic fundamental.,This study empirically analyzes and verifies the influence of macroeconomic uncertainty not only on oil prices but also on four groups of 19 raw materials. As for the methodological issues, the authors rely on a structural threshold vector autoregressive specification for modeling commodity price returns to account for potentially different effects depending on the macroeconomic uncertainty states.

中文翻译：

---

宏观经济不确定性对国际商品价格的影响

本文的目的是通过实证分析宏观经济不确定性对19个大宗商品市场样本的影响。作者基于Jurado等人（2015年）对宏观经济不确定性的衡量方法，该方法基于广泛的每月宏观经济和财务指标并估算阈值VAR模型，以评估在高不确定性状态下宏观经济不确定性对商品价格的影响是否不同。研究结果表明，积极的宏观经济不确定性冲击平均对商品价格产生负面影响，并且高不确定性国家的宏观经济不确定性通常高于低不确定性国家。此外，尽管已确认贵金属具有避险作用，能源和工业市场分别对短期和长期宏观经济不确定性更为敏感。本研究结果表明，商品价格不仅反映了经济基本面的水平，而且反映了经济基本面的波动性。分析并验证了宏观经济不确定性不仅对石油价格的影响，而且还对四类19种原材料的影响进行了验证。关于方法论问题，作者依赖于结构性阈值向量自回归规范来对商品价格回报进行建模，以根据宏观经济不确定性状态来考虑潜在的不同影响。这项研究从经验上分析和验证了宏观经济不确定性不仅对石油价格的影响，而且对四组19种原材料的影响。关于方法论问题，作者依赖于结构性阈值向量自回归规范来对商品价格回报进行建模，以根据宏观经济不确定性状态来考虑潜在的不同影响。这项研究从经验上分析和验证了宏观经济不确定性不仅对石油价格的影响，而且对四组19种原材料的影响。关于方法论问题，作者依赖于结构性阈值向量自回归规范来对商品价格回报进行建模，以根据宏观经济不确定性状态来考虑潜在的不同影响。