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...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-06-01
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| Series: | Economies |
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| Online Access: | https://www.mdpi.com/2227-7099/9/2/91 |
| _version_ | 1797530097958256640 |
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| author | Hedi Ben Haddad Imed Mezghani Abdessalem Gouider |
| author_facet | Hedi Ben Haddad Imed Mezghani Abdessalem Gouider |
| author_sort | Hedi Ben Haddad |
| collection | DOAJ |
| description | 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 commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals. The sample covers the period from January 1960 to June 2020. The estimated commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In addition, the time-varying connectedness analysis indicates that the macroeconomic uncertainty has persistent spillover effects on the commodity uncertainty, especially during the recent COVID-19 pandemic period. It has also found that the energy uncertainty shocks are the main drivers of connectedness among commodity markets, and that fats and oils uncertainty is the influence driver of uncertainty spillovers among agriculture commodities. The achieved results are of important significance to policymakers, firms, and investors to build accurate forecasts of commodity price uncertainties. |
| first_indexed | 2024-03-10T10:24:06Z |
| format | Article |
| id | doaj.art-1a6905ec37bf4ec485a1430193040319 |
| institution | Directory Open Access Journal |
| issn | 2227-7099 |
| language | English |
| last_indexed | 2024-03-10T10:24:06Z |
| publishDate | 2021-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj.art-1a6905ec37bf4ec485a14301930403192023-11-22T00:09:15ZengMDPI AGEconomies2227-70992021-06-01929110.3390/economies9020091The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets UncertaintiesHedi Ben Haddad0Imed Mezghani1Abdessalem Gouider2Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University, Riyadh 13318, Saudi ArabiaDepartment of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University, Riyadh 13318, Saudi ArabiaDepartment of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University, Riyadh 13318, Saudi ArabiaThe 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 commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals. The sample covers the period from January 1960 to June 2020. The estimated commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In addition, the time-varying connectedness analysis indicates that the macroeconomic uncertainty has persistent spillover effects on the commodity uncertainty, especially during the recent COVID-19 pandemic period. It has also found that the energy uncertainty shocks are the main drivers of connectedness among commodity markets, and that fats and oils uncertainty is the influence driver of uncertainty spillovers among agriculture commodities. The achieved results are of important significance to policymakers, firms, and investors to build accurate forecasts of commodity price uncertainties.https://www.mdpi.com/2227-7099/9/2/91commodity pricesforecastingdynamic factor modeltime-varying parameterseconomic and financial uncertainty |
| spellingShingle | Hedi Ben Haddad Imed Mezghani Abdessalem Gouider The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties Economies commodity prices forecasting dynamic factor model time-varying parameters economic and financial uncertainty |
| title | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties |
| title_full | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties |
| title_fullStr | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties |
| title_full_unstemmed | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties |
| title_short | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties |
| title_sort | dynamic spillover effects of macroeconomic and financial uncertainty on commodity markets uncertainties |
| topic | commodity prices forecasting dynamic factor model time-varying parameters economic and financial uncertainty |
| url | https://www.mdpi.com/2227-7099/9/2/91 |
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