Prokopczuk, Marcel and Stancu, Andrei and Symeonidis, Lazaros (2019) 'The economic drivers of commodity market volatility.' Journal of International Money and Finance, 98. ISSN 0261-5606
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The Economic Drivers of Commodity Market Volatility.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (916kB) | Preview |
Abstract
We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with credit risk, financial market stress, and fluctuations in business conditions bear significant predictive ability for commodity market volatility. The documented predictability is mainly observed in the period after the financialization of commodity markets (i.e. post–2004) and it peaks during the 2008–2009 global financial crisis.
Item Type: | Article |
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Uncontrolled Keywords: | Commodities, Economic uncertainty, Volatility, Financialization, Crisis |
Divisions: | Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
Depositing User: | Elements |
Date Deposited: | 28 Jan 2020 12:48 |
Last Modified: | 13 Jan 2021 02:00 |
URI: | http://repository.essex.ac.uk/id/eprint/26586 |
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