On the economic sources of commodity market volatility

Prokopczuk, Marcel and Symeonidis, Lazaros (2015) On the economic sources of commodity market volatility.

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Abstract

We analyze the effect of macroeconomic and financial uncertainty on the volatility of the aggregate commodity market and of major commodity groups. We find that inflation uncertainty bears some predictive power for commodity market volatility. Moreover, financial variables associated with credit risk and equity market stress are important determinants of commodity market volatility especially after the financialization of commodity markets. Finally, we document for the first time that the equity variance risk premium is a particularly strong predictor of commodity futures volatility.

Item Type: Article
Uncontrolled Keywords: economic uncertainty,realized volatility,financialization,variance risk premium
Faculty \ School: Faculty of Social Sciences > Norwich Business School
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Depositing User: Pure Connector
Date Deposited: 01 Dec 2015 07:38
Last Modified: 19 Dec 2018 00:52
URI: https://ueaeprints.uea.ac.uk/id/eprint/55582
DOI:

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