Research Repository

The economic drivers of commodity market volatility

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

[img] Text
The Economic Drivers of Commodity Market Volatility.pdf - Accepted Version
Restricted to Repository staff only until 13 January 2021.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (916kB) | Request a copy

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
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: 28 Jan 2020 13:15
URI: http://repository.essex.ac.uk/id/eprint/26586

Actions (login required)

View Item View Item