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Commodity Price Volatility and the Economic Uncertainty of Pandemics

Bakas, Dimitrios and Triantafyllou, Athanasios (2020) Commodity Price Volatility and the Economic Uncertainty of Pandemics. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

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Abstract

In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific, we explore the impact of economic uncertainty related to global pandemics on the volatility of the S&P GSCI commodity 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. Our findings remain robust to a series of robustness checks.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Pandemics, Commodity Markets, Economic Uncertainty, Volatility
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 24 Apr 2020 14:57
Last Modified: 06 Jan 2022 14:13
URI: http://repository.essex.ac.uk/id/eprint/27364

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