Commodity price uncertainty as a leading indicator of economic activity

Triantafyllou, A., Bakas, D. ORCID: 0000-0003-4771-4505 and Ioakimidis, M., 2023. Commodity price uncertainty as a leading indicator of economic activity. International Journal of Finance and Economics, 28 (4), pp. 4194-4219. ISSN 1076-9307

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This article examines the impact of commodity price uncertainty on the U.S. economic activity. Our analysis indicates that uncertainty in agricultural, energy and metals markets depresses economic activity in the United States. 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: October 2023
Volume: 28
Number: 4
ISSN: 1076-9307
Rights: © 2022 the authors. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
Divisions: Schools > Nottingham Business School
Record created by: Jonathan Gallacher
Date Added: 03 May 2022 15:21
Last Modified: 20 Oct 2023 15:14

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