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Does the volatility of commodity prices reflect macroeconomic uncertainty ?

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  1. Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael, 2020. "Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 150-155.
  2. Weshah Razzak, 2018. "The Purchasing Power Parity Puzzle: An Update," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 61(2), pages 77-104.
  3. Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high‐frequency uncertainty shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
  4. Bakas, Dimitrios & Triantafyllou, Athanasios, 2018. "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
  5. Govorukha, Kristina & Mayer, Philip & Rübbelke, Dirk & Vögele, Stefan, 2020. "Economic disruptions in long-term energy scenarios – Implications for designing energy policy," Energy, Elsevier, vol. 212(C).
  6. Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
  7. Ma, Xiaohan & Samaniego, Roberto, 2020. "The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts," Energy Economics, Elsevier, vol. 90(C).
  8. Olga Dodd & Adrian Fernández-Pérez & Simon Sosvilla-Rivero, 2024. "Currency and commodity return relationship under extreme geopolitical risks: evidence from the invasion of Ukraine," Applied Economics Letters, Taylor & Francis Journals, vol. 31(1), pages 46-55, January.
  9. Guo, Jiaqi & Long, Shaobo & Luo, Weijie, 2022. "Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas," International Review of Financial Analysis, Elsevier, vol. 83(C).
  10. Rubaszek, Michał & Karolak, Zuzanna & Kwas, Marek, 2020. "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 65(C).
  11. Razzak, Weshah, 2017. "The PPP Puzzle: An Update," MPRA Paper 80774, University Library of Munich, Germany.
  12. Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
  13. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016. "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 97-131, June.
  14. Kisswani, Khalid M., 2021. "(A)symmetric time-varying effects of uncertainty fluctuations on oil price volatility: A nonlinear ARDL investigation," Resources Policy, Elsevier, vol. 73(C).
  15. Xiaofen Tan & Yongjiao Ma, 2017. "The impact of macroeconomic uncertainty on international commodity prices," China Finance Review International, Emerald Group Publishing Limited, vol. 7(2), pages 163-184, May.
  16. Sun, Ting-Ting & Su, Chi-Wei & Mirza, Nawazish & Umar, Muhammad, 2021. "How does trade policy uncertainty affect agriculture commodity prices?," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
  17. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
  18. Fasanya, Ismail O. & Awodimila, Crystal P., 2020. "Are commodity prices good predictors of inflation? The African perspective," Resources Policy, Elsevier, vol. 69(C).
  19. António Afonso & José Alves & João Jalles & Sofia Monteiro, 2024. "Energy Price Dynamics in the Face of Uncertainty Shocks and the role of Exchange Rate Regimes: A Global Cross-Country Analysis," Working Papers REM 2024/0344, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  20. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
  21. Ying-Hui Shao & Xing-Lu Gao & Yan-Hong Yang & Wei-Xing Zhou, 2025. "Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-32, December.
  22. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
  23. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
  24. Cao, Yan & Cheng, Sheng & Li, Xinran, 2023. "How economic policy uncertainty affects asymmetric spillovers in food and oil prices: Evidence from wavelet analysis," Resources Policy, Elsevier, vol. 86(PB).
  25. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
  26. Gilles Dufrénot & William Ginn & Marc Pourroy, 2023. "ENSO Climate Patterns on Global Economic Conditions," AMSE Working Papers 2308, Aix-Marseille School of Economics, France.
  27. Zhou, Liyun & Huang, Jialiang, 2020. "Contagion of future-level sentiment in Chinese Agricultural Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  28. Pan, Lijun & Wang, Yangjie & Sun, Xiaofei & Sadiq, Muhammad & Dagestani, Abd Alwahed, 2023. "Natural resources: A determining factor of geopolitical risk in Russia? Revisiting conflict-based perspective," Resources Policy, Elsevier, vol. 85(PA).
  29. Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah, 2020. "The role of the threshold effect for the dynamics of futures and spot prices of energy commodities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-20, December.
  30. Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
  31. Cui, Jinxin & Maghyereh, Aktham, 2024. "Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress," Journal of Commodity Markets, Elsevier, vol. 33(C).
  32. Lyu, Yongjian & Yi, Heling & Hu, Yingyi & Yang, Mo, 2021. "Economic uncertainty shocks and China's commodity futures returns: A time-varying perspective," Resources Policy, Elsevier, vol. 70(C).
  33. Tang, Wenjin & Bu, Hui & Ji, Yuqiong & Li, Zhongfei, 2024. "Market uncertainty and information content in complex seasonality of prices," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  34. Chang, Lei & Mohsin, Muhammad & Hasnaoui, Amir & Taghizadeh-Hesary, Farhad, 2023. "Exploring carbon dioxide emissions forecasting in China: A policy-oriented perspective using projection pursuit regression and machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 197(C).
  35. Dogan, Eyup & Majeed, Muhammad Tariq & Luni, Tania, 2021. "Analyzing the impacts of geopolitical risk and economic uncertainty on natural resources rents," Resources Policy, Elsevier, vol. 72(C).
  36. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2021. "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis," Resources Policy, Elsevier, vol. 72(C).
  37. Ivanovski, Kris & Hailemariam, Abebe, 2022. "Time-varying geopolitical risk and oil prices," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 206-221.
  38. Nguyen, Bao H. & Okimoto, Tatsuyoshi & Tran, Trung Duc, 2022. "Uncertainty-dependent and sign-dependent effects of oil market shocks," Journal of Commodity Markets, Elsevier, vol. 26(C).
  39. Zhuo Huang & Fang Liang & Chen Tong, 2021. "The predictive power of macroeconomic uncertainty for commodity futures volatility," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 989-1012, September.
  40. Salisu, Afees A. & Adediran, Idris A. & Oloko, Tirimisiyu O. & Ohemeng, William, 2020. "The heterogeneous behaviour of the inflation hedging property of cocoa," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  41. Zhang, Wenbei & Luckert, Marty & Qiu, Feng, 2023. "Asymmetric price transmission and impulse responses from U.S. crude oil to jet fuel and diesel markets," Energy, Elsevier, vol. 283(C).
  42. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2021. "The realized volatility of commodity futures: Interconnectedness and determinants#," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 139-151.
  43. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
  44. Wang, Lu & Wu, Jiangbin & Cao, Yang & Hong, Yanran, 2022. "Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?," Energy Economics, Elsevier, vol. 111(C).
  45. Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
  46. Priya, Pragati & Sharma, Chandan, 2024. "On transmission channels of energy prices and monetary policy shocks to household consumption: Evidence from India," Energy Economics, Elsevier, vol. 136(C).
  47. William Ginn, 2024. "Agricultural fluctuations and global economic conditions," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(3), pages 1037-1056, August.
  48. Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
  49. Alessandro Paolo Rigamonti & Giulio Greco & Mariarita Pierotti & Alessandro Capocchi, 2024. "Macroeconomic uncertainty and earnings management: evidence from commodity firms," Review of Quantitative Finance and Accounting, Springer, vol. 62(4), pages 1615-1649, May.
  50. Tan Ngoc Vu & Chi Minh Ho & Thang Cong Nguyen & Duc Hong Vo, 2020. "The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach," Agriculture, MDPI, vol. 10(4), pages 1-14, April.
  51. Abid, Ilyes & Dhaoui, Abderrazak & Kaabia, Olfa & Tarchella, Salma, 2023. "Geopolitical risk on energy, agriculture, livestock, precious and industrial metals: New insights from a Markov Switching model," Resources Policy, Elsevier, vol. 85(PA).
  52. Galán-Gutiérrez, Juan Antonio & Labeaga, José M. & Martín-García, Rodrigo, 2023. "Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle," Resources Policy, Elsevier, vol. 81(C).
  53. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
  54. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
  55. Srivastava, Mrinalini & Rao, Amar & Parihar, Jaya Singh & Chavriya, Shubham & Singh, Surendar, 2023. "What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning," Resources Policy, Elsevier, vol. 80(C).
  56. Lyu, Yongjian & Tuo, Siwei & Wei, Yu & Yang, Mo, 2021. "Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence," Resources Policy, Elsevier, vol. 70(C).
  57. Hua, Renhai & Liu, Qingfu & Tse, Yiuman & Yu, Qin, 2023. "The impact of natural disaster risk on the return of agricultural futures," Journal of Asian Economics, Elsevier, vol. 87(C).
  58. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
  59. Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien, 2019. "Do country risk and financial uncertainty matter for energy commodity futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 366-383, March.
  60. Rao, Amar & Lucey, Brian & Kumar, Satish, 2023. "Climate risk and carbon emissions: Examining their impact on key energy markets through asymmetric spillovers," Energy Economics, Elsevier, vol. 126(C).
  61. Z. Robinson, 2024. "A macroeconomic viewpoint using a structural VAR analysis of silver price behaviour," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 37(1), pages 15-23, March.
  62. Yin, Hong & Chang, Long & Wang, Shu, 2023. "The impact of China's economic uncertainty on commodity and financial markets," Resources Policy, Elsevier, vol. 84(C).
  63. Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
  64. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
  65. Lyu, Yongjian & Wei, Yu & Hu, Yingyi & Yang, Mo, 2021. "Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market," Energy, Elsevier, vol. 222(C).
  66. Lyu, Yongjian & Yi, Heling & Wei, Yu & Yang, Mo, 2021. "Revisiting the role of economic uncertainty in oil price fluctuations: Evidence from a new time-varying oil market model," Economic Modelling, Elsevier, vol. 103(C).
  67. Pham, Linh & Kamal, Javed Bin, 2024. "Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?," Journal of Commodity Markets, Elsevier, vol. 34(C).
  68. Junguo Hua & Hui Li & Zejun He & Jing Ding & Futong Jin, 2022. "The Microcosmic Mechanism and Empirical Test of Uncertainty on the Non-Linear Fluctuation of Chinese Grain Prices-Based on the Perspective of Global Economic Policy Uncertainty," Agriculture, MDPI, vol. 12(10), pages 1-17, September.
  69. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
  70. Rubaszek, Michał & Uddin, Gazi Salah, 2020. "The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis," Energy Economics, Elsevier, vol. 87(C).
  71. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
  72. Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).
  73. Foglia, Matteo & Palomba, Giulio & Tedeschi, Marco, 2023. "Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries," Resources Policy, Elsevier, vol. 85(PB).
  74. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
  75. Tunc, Ahmet & Kocoglu, Mustafa & Aslan, Alper, 2022. "Time-varying characteristics of the simultaneous interactions between economic uncertainty, international oil prices and GDP: A novel approach for Germany," Resources Policy, Elsevier, vol. 77(C).
  76. Zhang, Yongmin & Ding, Shusheng & Scheffel, Eric M., 2019. "A key determinant of commodity price Co-movement: The role of daily market liquidity," Economic Modelling, Elsevier, vol. 81(C), pages 170-180.
  77. Shi, Xunpeng & Shen, Yifan, 2021. "Macroeconomic uncertainty and natural gas prices: Revisiting the Asian Premium," Energy Economics, Elsevier, vol. 94(C).
  78. Orlowski, Lucjan T., 2017. "Volatility of commodity futures prices and market-implied inflation expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 133-141.
  79. Apergis, Nicholas & Chatziantoniou, Ioannis & Cooray, Arusha, 2020. "Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty," International Review of Financial Analysis, Elsevier, vol. 71(C).
  80. Long, Shaobo & Li, Jieyu & Luo, Tianyuan, 2023. "The asymmetric impact of global economic policy uncertainty on international grain prices," Journal of Commodity Markets, Elsevier, vol. 30(C).
  81. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
  82. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
  83. Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).
  84. Gilles Dufrénot & William Ginn & Marc Pourroy, 2021. "The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach," Working Papers halshs-03225070, HAL.
  85. Ren, Yinghua & Tan, Anqi & Zhu, Huiming & Zhao, Wanru, 2022. "Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?," International Review of Financial Analysis, Elsevier, vol. 81(C).
  86. Gong, Xu & Xu, Jun, 2022. "Geopolitical risk and dynamic connectedness between commodity markets," Energy Economics, Elsevier, vol. 110(C).
  87. Fatemeh Salimi, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," Working Papers halshs-03007904, HAL.
  88. Khan, Nasir & Mejri, Sami & Hammoudeh, Shawkat, 2024. "How do global commodities react to increasing geopolitical risks? New insights into the Russia-Ukraine and Palestine-Israel conflicts," Energy Economics, Elsevier, vol. 138(C).
  89. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
  90. Fatemeh Salimi Namin, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," AMSE Working Papers 2037, Aix-Marseille School of Economics, France.
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