Commodity price uncertainty as a leading indicator of economic activity

Triantafyllou, A., Bakas, D. ORCID: 0000-0003-4771-4505 and Ioakimidis, M., 2022. Commodity price uncertainty as a leading indicator of economic activity. International Journal of Finance and Economics. ISSN 1076-9307 (Forthcoming)

[img] Text
1542600_Bakas.pdf - Post-print
Restricted to Repository staff only

Download (1MB)

Abstract

This paper examines the impact of commodity price uncertainty on US economic activity. Our analysis indicates that uncertainty in agricultural, energy and metals markets depresses economic activity in US. Uncertainty shocks in agricultural and metals markets have a more long-lasting dampening effect on economic activity and its components, when compared to the effect of oil 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 uncertainty shocks remains unaltered, while the respective macroeconomic response to energy uncertainty shocks is significantly reduced.

Item Type: Journal article
Publication Title: International Journal of Finance and Economics
Creators: Triantafyllou, A., Bakas, D. and Ioakimidis, M.
Publisher: Wiley
Date: 30 April 2022
ISSN: 1076-9307
Identifiers:
NumberType
1542600Other
Divisions: Schools > Nottingham Business School
Record created by: Jonathan Gallacher
Date Added: 03 May 2022 15:21
Last Modified: 03 May 2022 15:21
URI: http://irep.ntu.ac.uk/id/eprint/46241

Actions (login required)

Edit View Edit View

Views

Views per month over past year

Downloads

Downloads per month over past year