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The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties
International Journal of Financial Studies Pub Date : 2021-06-15 , DOI: 10.3390/economies9020091
Hedi Ben Haddad, Imed Mezghani, Abdessalem Gouider

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals. The sample covers the period from January 1960 to June 2020. The estimated commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In addition, the time-varying connectedness analysis indicates that the macroeconomic uncertainty has persistent spillover effects on the commodity uncertainty, especially during the recent COVID-19 pandemic period. It has also found that the energy uncertainty shocks are the main drivers of connectedness among commodity markets, and that fats and oils uncertainty is the influence driver of uncertainty spillovers among agriculture commodities. The achieved results are of important significance to policymakers, firms, and investors to build accurate forecasts of commodity price uncertainties.

中文翻译:

宏观经济和金融不确定性对商品市场不确定性的动态溢出效应

本文有两个主要目标:第一,准确估计商品价格的不确定性;其次,利用时变向量自回归(TVP-VAR)模型分析商品市场与宏观经济不确定性之间的不确定性连通性。我们使用八个主要商品市场,即能源、油脂、饮料、谷物、其他食品、原材料、工业膳食和贵金属。样本涵盖了 1960 年 1 月至 2020 年 6 月期间。估计的商品价格不确定性被证明是商品市场不确定性而非波动性的领先指标。此外,时变连通性分析表明,宏观经济不确定性对商品不确定性具有持续的溢出效应,尤其是在最近的 COVID-19 大流行期间。研究还发现,能源不确定性冲击是商品市场连通性的主要驱动因素,油脂不确定性是农产品不确定性溢出的影响驱动因素。取得的成果对于决策者、企业和投资者建立对商品价格不确定性的准确预测具有重要意义。
更新日期:2021-06-15
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