Commodity price uncertainty as a leading indicator of economic activity

Bakas, D. ORCID: 0000-0003-4771-4505, Triantafyllou, A. and Ioakimidis, M., 2020. Commodity price uncertainty as a leading indicator of economic activity. Colchester: University of Essex, Essex Finance Centre.

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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, energy and metals markets depresses US economic activity and acts as an early warning signal for US recessions. Our VAR analysis shows that uncertainty shocks in agricultural and metals markets have a more long-lasting dampening effect on US economic activity and its components, when compared to the effect of 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 respective macroeconomic 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: Essex Finance Centre working paper series: No. 56: 04-2020
Creators: Bakas, D., Triantafyllou, A. and Ioakimidis, M.
Publisher: University of Essex, Essex Finance Centre
Place of Publication: Colchester
Date: 2020
Number: 56
Identifiers:
NumberType
1542575Other
Divisions: Schools > Nottingham Business School
Record created by: Jonathan Gallacher
Date Added: 03 May 2022 13:37
Last Modified: 03 May 2022 13:37
Related URLs:
URI: http://irep.ntu.ac.uk/id/eprint/46235

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