The economic drivers of commodity market volatility

Prokopczuk, Marcel, Stancu, Andrei and Symeonidis, Lazaros (2019) The economic drivers of commodity market volatility. Journal of International Money and Finance, 98. ISSN 0261-5606

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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
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 17 Jul 2019 08:30
Last Modified: 11 Jun 2020 01:11
URI: https://ueaeprints.uea.ac.uk/id/eprint/71760
DOI: 10.1016/j.jimonfin.2019.102063

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