Commodity price volatility and the economic uncertainty of pandemics

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. (Unpublished)

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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
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:
NumberType
1318000Other
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: 27 Apr 2020 07:21
URI: http://irep.ntu.ac.uk/id/eprint/39733

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