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Commodity Price Volatility and the Economic Uncertainty of Pandemics

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  • Bakas, Dimitrios
  • Triantafyllou, Athanasios

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 S&P 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.

Suggested Citation

  • Bakas, Dimitrios & Triantafyllou, Athanasios, 2020. "Commodity Price Volatility and the Economic Uncertainty of Pandemics," Essex Finance Centre Working Papers 27364, University of Essex, Essex Business School.
    • Handle: RePEc:esy:uefcwp:27364
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • I10 - Health, Education, and Welfare - - Health - - - General

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