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Bakas, D. 
ORCID: 0000-0003-4771-4505 and Triantafyllou, A.,
2020.
Commodity price volatility and the economic uncertainty of pandemics.
Waterloo, Ontario: The Rimini Centre for Economic Analysis.
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Abstract
In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific, we explore the impact of economic uncertainty related to global pandemics on the volatility of the SandP GSCI commodity index as well as on the sub-indexes of crude oil and gold. The results show that uncertainty related to pandemics have a strong negative impact on the volatility of commodity markets and especially on crude oil market, while the effect on gold market is positive but less significant. Our findings remain robust to a series of robustness checks.
| Item Type: | Working paper | ||||
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| Description: | RCEA Working Paper series, 20-12. | ||||
| Creators: | Bakas, D. and Triantafyllou, A. | ||||
| Publisher: | The Rimini Centre for Economic Analysis | ||||
| Place of Publication: | Waterloo, Ontario | ||||
| Date: | April 2020 | ||||
| Number: | 20-12 | ||||
| Identifiers: |
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| 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 | ||||
| Record created by: | Linda Sullivan | ||||
| Date Added: | 27 Apr 2020 07:19 | ||||
| Last Modified: | 14 Nov 2023 13:49 | ||||
| URI: | https://irep.ntu.ac.uk/id/eprint/39733 |
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