The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties
The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main commodi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Series: | Economies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7099/9/2/91 |