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The economic drivers of commodity market volatility

Author

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  • Prokopczuk, Marcel
  • Stancu, Andrei
  • Symeonidis, Lazaros

Abstract

We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with credit risk, financial market stress, and fluctuations in business conditions bear significant predictive ability for commodity market volatility. The documented predictability is mainly observed in the period after the financialization of commodity markets (i.e. post–2004) and it peaks during the 2008–2009 global financial crisis.

Suggested Citation

  • Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    • Handle: RePEc:eee:jimfin:v:98:y:2019:i:c:4
    DOI: 10.1016/j.jimonfin.2019.102063
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    More about this item

    Keywords

    Commodities; Economic uncertainty; Volatility; Financialization; Crisis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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