Triantafyllou, Athanasios and Bakas, Dimitrios and Ioakimidis, Marilou (2023) Commodity Price Uncertainty as a Leading Indicator of Economic Activity. International Journal of Finance and Economics, 28 (4). pp. 4194-4219. DOI https://doi.org/10.1002/ijfe.2642
Triantafyllou, Athanasios and Bakas, Dimitrios and Ioakimidis, Marilou (2023) Commodity Price Uncertainty as a Leading Indicator of Economic Activity. International Journal of Finance and Economics, 28 (4). pp. 4194-4219. DOI https://doi.org/10.1002/ijfe.2642
Triantafyllou, Athanasios and Bakas, Dimitrios and Ioakimidis, Marilou (2023) Commodity Price Uncertainty as a Leading Indicator of Economic Activity. International Journal of Finance and Economics, 28 (4). pp. 4194-4219. DOI https://doi.org/10.1002/ijfe.2642
Abstract
This article examines the impact of commodity price uncertainty on the U.S. economic activity. Our analysis indicates that uncertainty in agricultural, energy and metals markets depresses economic activity in the United States. Uncertainty shocks in agricultural and metals markets have a more long-lasting dampening effect on economic activity and its components, when compared to the effect of oil uncertainty shocks. Finally, we show that when accounting for the effects of macroeconomic and monetary factors, the negative dynamic response of economic activity to agricultural and metals uncertainty shocks remains unaltered, while the respective macroeconomic response to energy uncertainty shocks is significantly reduced.
Item Type: | Article |
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Uncontrolled Keywords: | commodity markets; economic activity; economic recession; volatility |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 15 Jun 2022 09:27 |
Last Modified: | 16 May 2024 21:19 |
URI: | http://repository.essex.ac.uk/id/eprint/32821 |
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Filename: Int J Fin Econ - 2022 - Triantafyllou - Commodity price uncertainty as a leading indicator of economic activity.pdf
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