The economic drivers of commodity market volatilityProkopczuk, M., Stancu, A. and Symeonidis, L. (2019) The economic drivers of commodity market volatility. Journal of International Money and Finance, 98. 102063. ISSN 0261-5606
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/j.jimonfin.2019.102063 Abstract/SummaryAbstract 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.
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