Macroeconomic uncertainty: does it matter for commodity prices?

Yin, Libo; 韩立岩(Han, Liyan)

doi:10.1080/13504851.2014.887181

Cited by 50 publications

(20 citation statements)

References 10 publications

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“…Within the economic literature, a limited attention has been devoted to the effects of economic policy uncertainty and the perception of price risks on nonenergy commodities. Generally, the attention has been given to aggregate commodity index such as the Dow Jones‐UBS (Yin & Han, 2014), or to broad indices of market prices (Poncela, Senra, & Sierra, 2014) or to energy commodities (Algieri, Andiloro, Tamburino, & Zema, 2019; Reboredo & Wen, 2015; Shahzad, Raza, Balcilar, Ali, & Shahbaz, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Algieri

2020

World Economy

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Section: Literature Reviewmentioning

confidence: 99%

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Algieri

2020

World Economy

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“…For example, periods of negative correlation (uncorrelation) between the prices of Bitcoin and financial assets offer an opportunity for optimizing portfolio and hedging strategies depending on whether the level of EPU is high, medium, or low. In fact, the literature generally argues that an increase in EPU may positively influence commodities (Shahzad et al, 2017;Yin and Han, 2014), bonds (Ioannidis and Ka, 2018), and Bitcoin (Demir et al, 2018), as these three assets possess some hedging properties.…”

Section: Introductionmentioning

confidence: 99%

Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?

Fang

Bouri

Gupta

et al. 2019

International Review of Financial Analysis

256

106

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We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results provide evidence supporting that, except for the case of bonds. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global economic policy uncertainty and the results reveal that global economic policy uncertainty has a negative significant impact on the Bitcoin-bonds correlation, and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting a possibility for Bitcoin to act as a hedge under specific * The authors would like to thank Professor Honghai Yu for many helpful comments, and Sifan Ding for excellent research assistance. # Corresponding author. economic uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global economic policy uncertainty. Implications for investors and policy-makers are discussed.

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“…An extensive literature has examined the influence of economic and financial variables on commodity prices and their potential to forecast commodity price movements (e.g., Ye et al 2006;Coppola 2008;Chen et al 2010;Alquist and Kilian 2010;Groen and Pesenti 2011;Hong and Yogo 2012;Kilian 2012, 2015;Bessembinder and Chan 2016;Ahumada and Cornejo 2016;Wang et al 2017;Baumeister et al 2018). Other studies explore the role of economic uncertainty in explaining commodity price returns and volatility (e.g., Yin and Han 2014;Triantafyllou 2018, 2019;Joëts et al 2017;Bahloul et al 2018;Yang 2019).…”

Section: Introductionmentioning

confidence: 99%

The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

2021

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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.

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Macroeconomic uncertainty: does it matter for commodity prices?

Cited by 50 publications

References 10 publications

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?

The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

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