Commodity price uncertainty as a leading indicator of economic activity

Triantafyllou, A., Bakas, D. ORCID: 0000-0003-4771-4505 and Ioakimidis, M., 2019. Commodity price uncertainty as a leading indicator of economic activity. Waterloo, Ontario: The Rimini Centre for Economic Analysis.

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Abstract

In this paper we examine the impact of commodity price uncertainty on US economic activity. Our empirical analysis indicates that uncertainty in agricultural, metals and energy markets depresses US economic activity and acts as an early warning signal for US recessions with a forecasting horizon ranging from one to twelve months. The results reveal that uncertainty shocks in agricultural and metals markets are more significant for the US macroeconomy when compared to oil price uncertainty shocks. Finally, we show that when accounting for the effects of macroeconomic and monetary factors, the negative dynamic response of economic activity to agricultural and metals price uncertainty shocks remains unaltered, while the response to energy uncertainty shocks is significantly reduced due to either systematic policy reactions or random shocks in monetary policy.

Item Type: Working paper
Description: Working paper series: WP 19-03
Creators: Triantafyllou, A., Bakas, D. and Ioakimidis, M.
Publisher: The Rimini Centre for Economic Analysis
Place of Publication: Waterloo, Ontario
Date: January 2019
Rights: Copyright belongs to the author. Short sections of the text, not exceeding three paragraphs, can be used provided proper acknowledgement is given.
Divisions: Schools > Nottingham Business School
Depositing User: Jonathan Gallacher
Date Added: 01 Feb 2019 13:43
Last Modified: 01 Feb 2019 13:43
URI: http://irep.ntu.ac.uk/id/eprint/35749

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