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Commodity price volatility and the economic uncertainty of pandemics

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  • Bakas, Dimitrios
  • Triantafyllou, Athanasios

Abstract

We empirically investigate the impact of economic uncertainty related to global pandemics on the volatility of the broad commodity price index as well as on the sub-indexes of crude oil and gold. The results show that uncertainty related to pandemics have a strong negative impact on the volatility of commodity markets and especially on crude oil market, while the effect on gold market is positive but less significant.

Suggested Citation

  • Bakas, Dimitrios & Triantafyllou, Athanasios, 2020. "Commodity price volatility and the economic uncertainty of pandemics," Economics Letters, Elsevier, vol. 193(C).
    • Handle: RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301890
    DOI: 10.1016/j.econlet.2020.109283
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    More about this item

    Keywords

    Pandemics; Commodity markets; Economic uncertainty; Volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • I10 - Health, Education, and Welfare - - Health - - - General

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