Nothing Special   »   [go: up one dir, main page]
create a website
The Impact of Uncertainty Shocks on the Volatility of Commodity Prices.. (2018). Bakas, Dimitrios ; Triantafyllou, Athanasios.
In: NBS Discussion Papers in Economics.
RePEc:nbs:wpaper:2018/02.

Full description at Econpapers || Download paper

Cited: 116

Citations received by this document

Cites: 61

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Forecasting Gold Volatility in an Uncertain Environment: The Roles of Large and Small Shock Sizes. (2025). Wang, LU ; Zhang, LI ; Pan, Zhigang ; Ji, YU.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:44:y:2025:i:4:p:1478-1500.

    Full description at Econpapers || Download paper

  2. The dynamic connectedness between macroeconomic uncertainty and commodity volatility: evidence from China. (2025). Zou, Xiaopeng ; Hu, Jiawei.
    In: Applied Economics.
    RePEc:taf:applec:v:57:y:2025:i:2:p:169-190.

    Full description at Econpapers || Download paper

  3. The Macroeconomic Fragility of Critical Mineral Markets. (2025). Vespignani, Joaquin ; Smyth, Russell ; Kang, Wilson.
    In: Monash Economics Working Papers.
    RePEc:mos:moswps:2025-09.

    Full description at Econpapers || Download paper

  4. The Impact of Federal Reserve Monetary Policy on Commodity Prices: Evidence from the U.S. Dollar Index and International Grain Futures and Spot Markets. (2025). Zhong, YU ; Wang, Xizhao ; Ba, Xuezhen.
    In: Agriculture.
    RePEc:gam:jagris:v:15:y:2025:i:9:p:923-:d:1640820.

    Full description at Econpapers || Download paper

  5. How does macroeconomic uncertainty influence energy futures?: Evidence from extraordinary events. (2025). Chen, Fengwen ; Yin, Libo ; Lu, Man.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000716.

    Full description at Econpapers || Download paper

  6. The impact of energy-related uncertainty on China’s overall and sectoral stock returns: Evidence from quantile-on-quantile regression. (2025). Riaz, Adeel ; Ullah, Assad.
    In: Energy.
    RePEc:eee:energy:v:320:y:2025:i:c:s0360544225008965.

    Full description at Econpapers || Download paper

  7. Financial risk management innovation in energy market: Evidence from a machine learning hybrid model. (2025). Lu, Xinjie ; Ma, Feng ; Li, Zepei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001847.

    Full description at Econpapers || Download paper

  8. Detecting the macro drivers in the Australian National Electricity Market asymmetric volatility co-movement. (2025). Wojewodzki, Michal ; Lau, Chi Keung ; Dai, Xingyu ; Wang, Qunwei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000659.

    Full description at Econpapers || Download paper

  9. Exploring the connection between geopolitical risks and energy markets. (2025). Ferreira, Paulo ; Almeida, Dora ; Aslam, Faheem ; Dionsio, Andreia.
    In: Energy Economics.
    RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008223.

    Full description at Econpapers || Download paper

  10. Trade Uncertainty, Economic Policy Uncertainty and Shipping Costs. (2025). Kyriaki, Louca ; Nektarios, Michail ; Konstantinos, Melas.
    In: German Economic Review.
    RePEc:bpj:germec:v:26:y:2025:i:1:p:15-33:n:1001.

    Full description at Econpapers || Download paper

  11. Multiscale risk spillovers and external driving factors: Evidence from the global futures and spot markets of staple foods. (2025). Zhou, Wei-Xing ; Nguyen, Duc Khuong ; Goutte, St'Ephane ; Dai, Peng-Fei.
    In: Papers.
    RePEc:arx:papers:2501.15173.

    Full description at Econpapers || Download paper

  12. Trading commodity ETFs: Price behavior, investment insights, and performance analysis. (2024). Nippani, Srinivas ; Hadad, Elroi ; Malhotra, Davinder.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1257-1276.

    Full description at Econpapers || Download paper

  13. Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets. (2024). GUPTA, RANGAN ; Ouyang, Zisheng ; Zhou, Xuewei ; Ji, Qiang.
    In: Working Papers.
    RePEc:pre:wpaper:202422.

    Full description at Econpapers || Download paper

  14. Connectedness of Carbon Price and Energy Price under Shocks: A Study Based on Positive and Negative Price Volatility. (2024). Chang, Zhijia ; Yu, BO.
    In: Sustainability.
    RePEc:gam:jsusta:v:16:y:2024:i:12:p:5226-:d:1418235.

    Full description at Econpapers || Download paper

  15. The influence of uncertainty on commodity futures returns and trading behaviour. (2024). Smales, Lee ; Laubsch, Joshua ; Vo, Duc.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001212.

    Full description at Econpapers || Download paper

  16. Market uncertainty and information content in complex seasonality of prices. (2024). Li, Zhongfei ; Ji, Yuqiong ; Tang, Wenjin ; Bu, Hui.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001811.

    Full description at Econpapers || Download paper

  17. On the effect of short-run and long-run US economic expectations on oil and gold volatilities. (2024). Pino, Gabriel ; Jose, Barrales-Ruiz.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724003040.

    Full description at Econpapers || Download paper

  18. The role of G7 and BRICS country risks on critical metals: Evidence from time- and frequency-domain approach. (2024). Gao, Wang ; Yang, Shixiong ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723009686.

    Full description at Econpapers || Download paper

  19. Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?. (2024). Pham, Linh ; Kamal, Javed Bin.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000266.

    Full description at Econpapers || Download paper

  20. Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress. (2024). Maghyereh, Aktham ; Cui, Jinxin.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000703.

    Full description at Econpapers || Download paper

  21. Commodity currencies revisited: The role of global commodity price uncertainty. (2024). Karadimitropoulou, Aikaterini ; Ferrara, Laurent ; Bermpei, Theodora ; Triantafyllou, Athanasios.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000834.

    Full description at Econpapers || Download paper

  22. Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate. (2024). Zhang, Chengsi ; Liao, Wenting ; Ma, Jun.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000433.

    Full description at Econpapers || Download paper

  23. Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach. (2024). Vasileiou, Evangelos ; Malhotra, Davinder ; Hadad, Elroi.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324014016.

    Full description at Econpapers || Download paper

  24. Measuring dynamic spillovers between crude oil and grain commodity markets: A comparative analysis of demand and supply shocks. (2024). Chen, Zhenling ; Cherif, Houda Hadj ; Ni, Guohua.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007785.

    Full description at Econpapers || Download paper

  25. Towards an era of multi-source uncertainty: A systematic and bibliometric analysis. (2024). Wang, Ziyi ; Geng, Yong ; Zhong, Yiran ; Tan, Xueping ; Zhao, Difei ; Vivian, Andrew.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003430.

    Full description at Econpapers || Download paper

  26. Economic uncertainty, public debt and non-performing loans in the Eurozone: Three systemic crises. (2024). Sohag, Kazi ; Gurdgiev, Constantin ; Zeqiraj, Veton ; Hammoudeh, Shawkat.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001406.

    Full description at Econpapers || Download paper

  27. Dynamic connectedness in the higher moments between clean energy and oil prices. (2024). Pham, Linh ; Hao, Wei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006959.

    Full description at Econpapers || Download paper

  28. Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters. (2024). Shahbaz, Muhammad ; Jiao, Zhilun ; Sheikh, Umaid A ; Tabash, Mosab I.
    In: Energy Economics.
    RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004407.

    Full description at Econpapers || Download paper

  29. Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods. (2024). Bai, YU ; Xu, Xin ; Xie, Qichang ; Jia, Nanfei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002664.

    Full description at Econpapers || Download paper

  30. Will Southeast Asia be the next global manufacturing hub? A multiway cointegration, causality, and dynamic connectedness analyses. (2024). Sua, Lutfu S ; Wang, Haibo ; Alidaee, Bahram ; Ortiz, Jaime ; Huang, Jun.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124001122.

    Full description at Econpapers || Download paper

  31. Does twitter economic uncertainty matter for wheat prices?. (2024). Fakih, Ali ; Alamah, Zein ; Elgammal, Walid.
    In: Economics Letters.
    RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004895.

    Full description at Econpapers || Download paper

  32. Interplay of multifractal dynamics between shadow policy rates and energy markets. (2024). Hunjra, Ahmed ; Zhang, Mingda ; Aslam, Faheem ; Memon, Bilal Ahmed.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000093.

    Full description at Econpapers || Download paper

  33. Energy Price Dynamics in the Face of Uncertainty Shocks and the Role of Exchange Rate Regimes: A Global Cross-Country Analysis. (2024). Jalles, Joao ; Alves, José ; Afonso, Antonio ; Monteiro, Sofia.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_11384.

    Full description at Econpapers || Download paper

  34. The Effect of Global Economic Policy Uncertainty on Selected Islamic Stock Market Returns. (2024). Yacob, Norzahidah ; Mohd, Siti Musliha ; Yussof, Khairunnisa ; Wan, Wan Rasyidah ; Adam, Norashikin.
    In: International Journal of Research and Innovation in Social Science.
    RePEc:bcp:journl:v:8:y:2024:i:10:p:195-210.

    Full description at Econpapers || Download paper

  35. Joint multifractality in the cross-correlations between grains \& oilseeds indices and external uncertainties. (2024). Zhou, Wei-Xing ; Yang, Yan-Hong ; Gao, Xing-Lu ; Shao, Ying-Hui.
    In: Papers.
    RePEc:arx:papers:2410.02798.

    Full description at Econpapers || Download paper

  36. El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801.

    Full description at Econpapers || Download paper

  37. Commodity price uncertainty as a leading indicator of economic activity. (2023). Bakas, Dimitrios ; Ioakimidis, Marilou ; Triantafyllou, Athanasios.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4194-4219.

    Full description at Econpapers || Download paper

  38. Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model. (2023). Alonazi, Wadi B ; Zaidi, Syeda Beena ; Khan, Shabeer ; Rehman, Mohd Ziaur ; Noman, Abul Ala.
    In: Mathematics.
    RePEc:gam:jmathe:v:11:y:2023:i:19:p:4177-:d:1254210.

    Full description at Econpapers || Download paper

  39. Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Oikonomou, Georgios ; Dokas, Ioannis ; Panagiotidis, Minas.
    In: Energies.
    RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891.

    Full description at Econpapers || Download paper

  40. The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach. (2023). Mandaci, Pinar Evrim ; Azimli, Asil.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006682.

    Full description at Econpapers || Download paper

  41. Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America. (2023). Li, Yanjiao ; Guo, Lili.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005500.

    Full description at Econpapers || Download paper

  42. The impact of Chinas economic uncertainty on commodity and financial markets. (2023). Wang, Shu ; Chang, Long ; Yin, Hong.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004907.

    Full description at Econpapers || Download paper

  43. Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533.

    Full description at Econpapers || Download paper

  44. The asymmetric impact of global economic policy uncertainty on international grain prices. (2023). Luo, Tianyuan ; Long, Shaobo ; Li, Jieyu.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000307.

    Full description at Econpapers || Download paper

  45. International stock volatility predictability: New evidence from uncertainties. (2023). Wang, Tianyang ; Wu, Lan ; Ma, Feng.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495.

    Full description at Econpapers || Download paper

  46. Unveiling the multiscale impact of economic policy uncertainty on Chinas housing market spillovers: Evidence from different uncertainty measurements. (2023). Wang, Xinya.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009753.

    Full description at Econpapers || Download paper

  47. Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Szczygielski, Jan Jakub ; Charteris, Ailie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587.

    Full description at Econpapers || Download paper

  48. The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach. (2023). Han, Yingwei ; Li, Jie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004264.

    Full description at Econpapers || Download paper

  49. Extreme quantile spillovers and drivers among clean energy, electricity and energy metals markets. (2023). Zhang, Yubo ; Li, Yingli ; Gao, Wang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004240.

    Full description at Econpapers || Download paper

  50. Connectedness in implied higher-order moments of precious metals and energy markets. (2023). Xu, Yahua ; Lei, Xiaojie ; Zhang, Hongwei ; Bouri, Elie.
    In: Energy.
    RePEc:eee:energy:v:263:y:2023:i:pb:s0360544222024744.

    Full description at Econpapers || Download paper

  51. Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Chen, Louisa ; Wang, Kai.
    In: Energy Economics.
    RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

    Full description at Econpapers || Download paper

  52. The US-China trade war and the volatility linkages between energy and agricultural commodities. (2023). Poon, Wai-Ching ; Hasanov, Akram ; Ling, Natalie Fang ; Bouri, Elie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001032.

    Full description at Econpapers || Download paper

  53. The effects of economic uncertainty on financial volatility: A comprehensive investigation. (2023). Wang, Tianyi ; Huang, Zhuo ; Zhang, Cong ; Tong, Chen.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:73:y:2023:i:c:p:369-389.

    Full description at Econpapers || Download paper

  54. Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices. (2023). Jain, Prachi ; Maitra, Debasish.
    In: Economics Letters.
    RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000502.

    Full description at Econpapers || Download paper

  55. How does economic policy uncertainty drive time–frequency connectedness across commodity and financial markets?. (2023). Mao, Weifang ; Zhu, Huiming ; Wu, Hao ; Huang, Fei.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002005.

    Full description at Econpapers || Download paper

  56. Common Drivers of Commodity Futures?. (2022). Walther, Thomas ; Nguyen, Duc Khuong ; Klein, Tony ; Dudda, Tom L.
    In: QBS Working Paper Series.
    RePEc:zbw:qmsrps:202205.

    Full description at Econpapers || Download paper

  57. Does culture play a role in the stock markets response to uncertainty?. (2022). Xu, Jingjing.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2530-2548.

    Full description at Econpapers || Download paper

  58. Common Drivers of Commodity Futures?. (2022). Walther, Thomas ; Nguyen, Duc Khuong ; Klein, Tony ; Dudda, Tom.
    In: Working Papers.
    RePEc:use:tkiwps:2207.

    Full description at Econpapers || Download paper

  59. Impact of Economic Policy Uncertainty on the Stability of Enterprises Embedded in a Global Value Chain. (2022). Pan, Wenshen ; Han, QI ; Haider, Muhammad Afaq ; Zhang, Jingyi ; Liu, Huizheng.
    In: Advances in Management and Applied Economics.
    RePEc:spt:admaec:v:12:y:2022:i:2:f:12_2_3.

    Full description at Econpapers || Download paper

  60. The impact of commodity price volatility on fiscal balance and the role of real interest rate. (2022). Vespignani, Joaquin ; Raghavan, Mala ; Majumder, Monoj Kumar.
    In: Empirical Economics.
    RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02168-3.

    Full description at Econpapers || Download paper

  61. Returns in US copper companies the face of the volatility and stringency of COVID-19. (2022). Tapia, Pablo ; Sepulveda, Jorge ; Pasten, Boris.
    In: MPRA Paper.
    RePEc:pra:mprapa:112574.

    Full description at Econpapers || Download paper

  62. The impact of U.S. dollar movements and U.S. dollar states on non-perishable commodity prices. (2022). Grossmann, Axel ; Kim, Jintae.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000617.

    Full description at Econpapers || Download paper

  63. Does political risk matter for gold market fluctuations? A structural VAR analysis. (2022). Gao, Wang ; Ding, Qian ; Huang, Jianbai ; Zhang, Hongwei.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:60:y:2022:i:c:s027553192200006x.

    Full description at Econpapers || Download paper

  64. Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172.

    Full description at Econpapers || Download paper

  65. Do pandemic, trade policy and world uncertainties affect oil price returns?. (2022). Uddin, Gazi ; Sousa, Ricardo ; Hammoudeh, Shawkat ; Sharmi, Rubaiya Zaman ; Wadstrom, Christoffer.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001532.

    Full description at Econpapers || Download paper

  66. Study on the nonlinear interactions among the international oil price, the RMB exchange rate and Chinas gold price. (2022). Zhang, Zitao ; Qin, Yun.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001313.

    Full description at Econpapers || Download paper

  67. Time-varying characteristics of the simultaneous interactions between economic uncertainty, international oil prices and GDP: A novel approach for Germany. (2022). Kocoglu, Mustafa ; Aslan, Alper ; Tunc, Ahmet.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001076.

    Full description at Econpapers || Download paper

  68. Presidential honeymoons, political cycles and the commodity market. (2022). Idilbi, Yasmeen ; Qadan, Mahmoud.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722000800.

    Full description at Econpapers || Download paper

  69. Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis. (2022). Ferreira, Paulo ; Zil-e-huma,, ; Bibi, Rashida ; Aslam, Faheem.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004815.

    Full description at Econpapers || Download paper

  70. What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality. (2022). Sousa, Ricardo ; Costantini, Mauro.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002254.

    Full description at Econpapers || Download paper

  71. Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets. (2022). Uddin, Gazi ; Junttila, Juha ; Karim, Sitara ; Naeem, Muhammad Abubakr.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002393.

    Full description at Econpapers || Download paper

  72. Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change. (2022). Ding, Qian ; Huang, Jianbai ; Zhang, Hongwei.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001831.

    Full description at Econpapers || Download paper

  73. Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression. (2022). Wang, Yudong ; Xiao, Jihong.
    In: Energy.
    RePEc:eee:energy:v:241:y:2022:i:c:s0360544221027663.

    Full description at Econpapers || Download paper

  74. Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment. (2022). Dai, Zhifeng ; Zhang, Xinhua ; Zhu, Junxin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003711.

    Full description at Econpapers || Download paper

  75. The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic. (2022). Niu, Zibo ; Zhang, Hongwei ; Ma, Feng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002791.

    Full description at Econpapers || Download paper

  76. Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities. (2022). Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Paltrinieri, Andrea.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001384.

    Full description at Econpapers || Download paper

  77. Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China. (2022). Jiang, Yonghong ; Song, LU ; Tian, Gengyu.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:60:y:2022:i:c:s106294082200016x.

    Full description at Econpapers || Download paper

  78. The dimension of green economy: Culture viewpoint. (2022). Lee, Chien-Chiang ; Ho, Shan-Ju ; Wang, Chih-Wei.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:74:y:2022:i:c:p:122-138.

    Full description at Econpapers || Download paper

  79. Economic policy uncertainty, stakeholder engagement, and environmental, social, and governance practices: The moderating effect of competition. (2021). Yava, Idem Vural.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:28:y:2021:i:1:p:82-102.

    Full description at Econpapers || Download paper

  80. Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment. (2021). Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:23:p:8085-:d:693917.

    Full description at Econpapers || Download paper

  81. A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios. (2021). Wong, Wing-Keung ; Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:20:p:6775-:d:658457.

    Full description at Econpapers || Download paper

  82. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. (2021). Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:14:p:4173-:d:591975.

    Full description at Econpapers || Download paper

  83. The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties. (2021). Mezghani, Imed ; ben Haddad, Hedi ; Gouider, Abdessalem.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:2:p:91-:d:575121.

    Full description at Econpapers || Download paper

  84. Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?. (2021). Smutka, Lubos ; Kotyza, Pavel ; Prochazka, Petr ; Wielechowski, Micha ; Czech, Katarzyna.
    In: Agriculture.
    RePEc:gam:jagris:v:11:y:2021:i:2:p:93-:d:484771.

    Full description at Econpapers || Download paper

  85. Economic policy uncertainty effect on credit risk, lending decisions and banking performance: evidence from Tunisian listed banks. (2021). Hamdi, Khalfaoui ; Hassen, Guenichi.
    In: Journal of Economic and Administrative Sciences.
    RePEc:eme:jeaspp:jeas-09-2020-0159.

    Full description at Econpapers || Download paper

  86. Regime-switching energy price volatility: The role of economic policy uncertainty. (2021). Etienne, Xiaoli ; Scarcioffolo, Alexandre R.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:76:y:2021:i:c:p:336-356.

    Full description at Econpapers || Download paper

  87. The realized volatility of commodity futures: Interconnectedness and determinants#. (2021). Vo, Xuan Vinh ; lucey, brian ; Bouri, Elie ; Saeed, Tareq.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:73:y:2021:i:c:p:139-151.

    Full description at Econpapers || Download paper

  88. The effects of uncertainty measures on commodity prices from a time-varying perspective. (2021). Li, Yingli ; Chen, Jinyu ; Huang, Jianbai ; Zhang, Hongwei.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:100-114.

    Full description at Econpapers || Download paper

  89. How does trade policy uncertainty affect agriculture commodity prices?. (2021). Mirza, Nawazish ; Sun, Ting-Ting ; Umar, Muhammad.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:66:y:2021:i:c:s0927538x21000214.

    Full description at Econpapers || Download paper

  90. Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?. (2021). Mokni, Khaled ; Al-Shboul, Mohammad ; Assaf, Ata.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s030142072100249x.

    Full description at Econpapers || Download paper

  91. Economic drivers of commodity volatility: The case of copper. (2021). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s030142072100235x.

    Full description at Econpapers || Download paper

  92. (A)symmetric time-varying effects of uncertainty fluctuations on oil price volatility: A nonlinear ARDL investigation. (2021). Kisswani, Khalid.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002233.

    Full description at Econpapers || Download paper

  93. The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis. (2021). Ding, Qian ; Huang, Jianbai ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000945.

    Full description at Econpapers || Download paper

  94. Economic uncertainty shocks and Chinas commodity futures returns: A time-varying perspective. (2021). HU, Yingyi ; Lyu, Yongjian ; Yang, MO ; Yi, Heling.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720310072.

    Full description at Econpapers || Download paper

  95. Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence. (2021). Wei, YU ; Lyu, Yongjian ; Tuo, Siwei ; Yang, MO.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309739.

    Full description at Econpapers || Download paper

  96. Liquidity effects on price and return co-movements in commodity futures markets. (2021). Zhang, Yongmin ; Ding, Shusheng.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001320.

    Full description at Econpapers || Download paper

  97. The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Liu, Yang ; Han, Liyan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

    Full description at Econpapers || Download paper

  98. Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market. (2021). HU, Yingyi ; Wei, YU ; Lyu, Yongjian ; Yang, MO.
    In: Energy.
    RePEc:eee:energy:v:222:y:2021:i:c:s0360544221001730.

    Full description at Econpapers || Download paper

  99. Time-varying effects of oil price shocks and economic policy uncertainty on the nonferrous metals industry: From the perspective of industrial security. (2021). Chen, Ying ; Zhu, Xuehong ; Liao, Jianhui.
    In: Energy Economics.
    RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000979.

    Full description at Econpapers || Download paper

  100. The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel ; Makkonen, Adam.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

    Full description at Econpapers || Download paper

  101. Revisiting the role of economic uncertainty in oil price fluctuations: Evidence from a new time-varying oil market model. (2021). WEI, Y ; Lyu, Yongjian ; Yang, MO ; Yi, Heling.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002054.

    Full description at Econpapers || Download paper

  102. The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures. (2021). Ghafoor, Abdul ; Sifat, Imtiaz ; Ah, Abdollah.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000423.

    Full description at Econpapers || Download paper

  103. Screening for light crude oil and market comovements. (2020). Faseli, Omid.
    In: International Journal of Research in Business and Social Science (2147-4478).
    RePEc:rbs:ijbrss:v:9:y:2020:i:7:p:123-129.

    Full description at Econpapers || Download paper

  104. The relationship between European Brent crude oil price development and the US macroeconomy. (2020). Faseli, Omid.
    In: International Journal of Research in Business and Social Science (2147-4478).
    RePEc:rbs:ijbrss:v:9:y:2020:i:1:p:80-87.

    Full description at Econpapers || Download paper

  105. Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets. (2020). Matkovskyy, Roman ; Jalan, Akanksha ; Dowling, Michael.
    In: Post-Print.
    RePEc:hal:journl:hal-03004707.

    Full description at Econpapers || Download paper

  106. Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation. (2020). Feng, Yanhong ; Li, Tinghui ; Failler, Pierre ; Xu, Dilong.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:16:p:6523-:d:398132.

    Full description at Econpapers || Download paper

  107. Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China. (2020). Li, Youwei ; Wang, Ziwei ; He, Feng.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309419.

    Full description at Econpapers || Download paper

  108. Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets. (2020). Matkovskyy, Roman ; Dowling, Michael ; Jalan, Akanksha.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:77:y:2020:i:c:p:150-155.

    Full description at Econpapers || Download paper

  109. Economic policy uncertainty and the Bitcoin-US stock nexus. (2020). Vo, Xuan Vinh ; Mokni, Khaled ; Bouri, Elie ; Ajmi, Ahdi Noomen.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:57-58:y:2020:i::s1042444x20300451.

    Full description at Econpapers || Download paper

  110. Corporate risk-taking in developed countries: The influence of economic policy uncertainty and macroeconomic conditions. (2020). Vural-Yava, Idem.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300050.

    Full description at Econpapers || Download paper

  111. Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. (2020). Yin, Libo ; Su, Zhi ; Fang, Tong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302106.

    Full description at Econpapers || Download paper

  112. The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts. (2020). Samaniego, Roberto.
    In: Energy Economics.
    RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301729.

    Full description at Econpapers || Download paper

  113. Commodity price volatility and the economic uncertainty of pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios.
    In: Economics Letters.
    RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301890.

    Full description at Econpapers || Download paper

  114. The heterogeneous behaviour of the inflation hedging property of cocoa. (2020). Salisu, Afees ; Oloko, Tirimisiyu ; Adediran, Idris ; Ohemeng, William.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303535.

    Full description at Econpapers || Download paper

  115. Commodity Price Uncertainty as a Leading Indicator of Economic Activity. (2019). Bakas, Dimitrios ; Ioakimidis, Marilou ; Triantafyllou, Athanasios.
    In: Working Paper series.
    RePEc:rim:rimwps:19-03.

    Full description at Econpapers || Download paper

  116. Comovement between commodity sectors. (2019). Chen, Ziyue ; Zhang, Hao ; Cai, Guixin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:525:y:2019:i:c:p:1247-1258.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [Insert Table 5 Here] [Insert Table 6 Here] [Insert Table 7 Here] The results from Tables 5, 6 and 7 show that the coefficients of MU1, MU3, MU12, FU1, FU3 and FU12 remain positive and statistically significant. This exercise empirically verifies that both MU and FU series have a significant impact on the commodity price volatility irrespective of the forecasting horizon which has been used for their construction. We additionally examine the impact of the economic uncertainty shocks on the volatility of commodity prices over the financialization (post-2000) and the pre-financialization (pre-2000) periods. Tables 8 and 9 show the regression results for the baseline multivariate regression model over the postfinancialization and the pre-financialization period respectively.
    Paper not yet in RePEc: Add citation now

  2. Adams, Z., and Z., Gluck (2015). “Financialization in commodity markets: A passing trend or the new normal?” Journal of Banking and Finance, 60, 93-111.

  3. Antonakakis, N., Chatziantoniou, I., and G., Filis (2013). “Dynamic co-movements of stockmarket returns, implied volatility and policy uncertainty.” Economics Letters, 120, 87-92.

  4. Anzuini, A., Lombardi, M.J., and P., Pagano (2013). “The impact of monetary policy shocks on commodity prices.” International Journal of Central Banking, 9(3), 125-150.

  5. Arouri, M., Estay, C., Rault, C., and D., Roubaud (2016). “Economic policy uncertainty and stock markets: Long-run evidence from US.” Finance Research Letters, 18, 136-141.

  6. Arouri, M., Jouini, J., and D.K., Nguyen (2011). “Volatility spillovers between oil prices and stock sector returns: implications for portfolio management.” Journal of International money and finance, 30(7), 1387-1405.

  7. Baker, S.R., Bloom, N., and S.J., Davis (2016). “Measuring economic policy uncertainty.” Quarterly Journal of Economics, 131(4), 1593-1636.

  8. Basak, S., and A., Pavlova (2016). “A model of financialization of commodities.” Journal of Finance, 71(4), 1511-1556. 26 Batten, J.A., Ciner, C., and B.M., Lucey (2010). “The macroeconomic determinants of volatility in precious metals markets.” Resources Policy, 35(2), 65-71.

  9. Bekaert, G., Hoerova, M., and M., Lo Duca (2013). “Risk, uncertainty and monetary policy.” Journal of Monetary Economics, 60 (7), 771-788.

  10. Bloom, N. (2009). “The impact of uncertainty shocks.” Econometrica, 77(3), 623-685.

  11. Buyuksahin, B., and M.A., Robe (2014). “Speculators, commodities and cross-market linkages.” Journal of International Money and Finance, 42, 38-70.

  12. Caldara, D., Fuentes-Albero, C., Gilchrist, S., and E., Zakrajsek (2016). “The macroeconomic impact of financial and uncertainty shocks.” European Economic Review, 88, 185-207.

  13. Chen, Y.C., Rogoff, K.S., and B., Rossi (2010). “Can exchange rates forecast commodity prices?” Quarterly Journal of Economics, 125(3), 1145-1194.

  14. Cheng, I.H., and W., Xiong (2013). “The Financialization of commodity markets.” Working Paper No.19642, NBER.
    Paper not yet in RePEc: Add citation now

  15. Christensen, B.J., and N.R., Prabhala (1998). “The relation between implied and realized volatility.” Journal of Financial Economics, 50(2), 125-150.

  16. Colombo, V. (2013). “Economic policy uncertainty in the US: Does it matter for the Euro area?” Economics Letters, 121, 39-42.

  17. Diebold, F.X., and K., Yilmaz (2012). “Better to give than to receive: Predictive directional measurement of volatility spillovers.” International Journal of Forecasting, 28(1), 57-66.

  18. Du, X., Cindy, L. Y., and D.J., Hayes (2011). “Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis.” Energy Economics, 33(3), 497-503.

  19. Elder, J. (2017). “Oil price volatility: Industrial production and special aggregates.” Macroeconomic Dynamics, forthcoming.
    Paper not yet in RePEc: Add citation now

  20. Elder, J., and A., Serletis (2010). “Oil price uncertainty.” Journal of Money, Credit and Banking, 42(6), 1137-1159.

  21. Ferderer, J.P. (1996). “Oil price volatility and the macroeconomy.” Journal of Macroeconomics, 18(1), 1-26.

  22. Frankel, J.A. (2013). “Effects of speculation and interest rates in a ‘carry trade’ model of commodity prices.” Written for Understanding International Commodity Price Fluctuations, an International Conference organized by the IMF and Oxford University.

  23. Frankel, J.A., and A.K., Rose (2010). “Determinants of agricultural and mineral commodity prices.” In Inflation in an era of Relative Price Shocks. Reserve Bank of Australia. 27 Fong, W.M., and K.H., See (2001). “Modelling the conditional volatility of commodity index futures as a regime switching process.” Journal of Applied Econometrics, 16(2), 133-163.
    Paper not yet in RePEc: Add citation now

  24. Frankel, J.A., and G.A., Hardouvelis (1985). “Commodity prices, money surprises and Fed credibility.” Journal of Money, Credit and Banking, 17 (4), 425-438.

  25. Gilbert, C.L. (1989). “The impact of exchange rates and developing country debt on commodity prices.” Economic Journal, 99(397), 773-784.

  26. Gilbert, C.L. (2010). “How to understand high food prices.” Journal of Agricultural Economics, 61(2), 398-425.

  27. Gordon, G., and K.G., Rouwenhorst (2006). “Facts and fantasies about commodity futures.” Financial Analysts Journal, 62, 47-68.
    Paper not yet in RePEc: Add citation now

  28. Gospodinov, N., and S., Ng (2013). “Commodity prices, convenience yields and inflation.” Review of Economics and Statistics, 95(1), 206-219.

  29. Gubler, M., and M.S., Hertweck (2013). “Commodity price shocks and the business cycle: Structural evidence from the US.” Journal of International Money and Finance, 37, 324-352.

  30. Hamilton, J. D. (1983). “Oil and the macroeconomy since World War II.” Journal of Political Economy, 91(2), 228-248.

  31. Hamilton, J. D. (2003). “What is an oil shock?” Journal of Econometrics, 113(2), 363-398.

  32. Hammoudeh, S., Nguyen, D.K., and R.M., Sousa (2015). “US monetary policy and sectoral commodity prices.” Journal of International Money and Finance, 57, 61-85.

  33. Hattori, M., Schrimpf, A., and V., Shushko (2016). “The response of tail risk perceptions to unconventional monetary policy.” American Economic Journal:Macroeconomics, 8(2), 11136.

  34. Henzel, S.R., and M., Rengel (2017). “Dimensions of macroeconomic uncertainty: A common factor analysis.” Economic Inquiry, 55(2), 843-877.

  35. Irwin, S.H., and D.R., Sanders (2012). “Financialization and structural change in commodity futures markets.” Journal of Agricultural and Applied Economics, 44(3), 371-396.

  36. Jo, S. (2014). “The effects of oil price uncertainty on global real economic activity.” Journal of Money, Credit and Banking, 46(6), 1113-1135.

  37. Joets, M., Mignon, V., and T., Razafindrabe (2016). “Does the volatility of commodity prices reflect macroeconomic uncertainty?” Working paper 607, Banque de France.

  38. Kang, W., and R.A., Ratti (2014). “Oil shocks, policy uncertainty and stock-market returns.” Journal of International Financial Markets, Institutions and Money, 26, 305-318.
    Paper not yet in RePEc: Add citation now

  39. Karali, B., and G.J., Power (2013). “Short-and long-run determinants of commodity price volatility.” American Journal of Agricultural Economics, 95(3), 724-738.

  40. Kelly, B., Pastor, L., and P., Veronesi (2016). “The price of political uncertainty: Theory and evidence from the option market.” Journal of Finance, 71(5), 2417-2480. 28 Kilian, L. (2008). “Exogenous oil supply shocks: How big are they and how much do they matter for the US economy?” Review of Economics and Statistics, 90(2), 216-240.

  41. Kilian, L. (2009). “Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market.” American Economic Review, 99(3), 1053-1069.

  42. Koop, G., Pesaran, M.H, and S.M., Potter (1996). “Impulse response analysis in non-linear multivariate VAR models.” Journal of Econometrics, 74(1), 119-147.
    Paper not yet in RePEc: Add citation now

  43. Liu, L., and T., Zhang (2015). “Economic policy uncertainty and stock market volatility.” Finance Research Letters, 15, 99-105.

  44. Meinen, P., and O., Roehe (2017). “On measuring uncertainty and its impact on investment: Cross-country evidence for the euro area.” European Economic Review, 92, 161-179.

  45. Nazlioglu, S., and U., Soytas (2012). “Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis.” Energy Economics, 34(4), 1098-1104.

  46. Ng, V.K., and S.C., Pirrong (1994). “Fundamentals and volatility: Storage, spreads and the dynamics of metals prices.” Journal of Business, 67(2), 203-230.

  47. Pastor, L., and P., Veronesi (2012). “Uncertainty about government policy and stock prices.” Journal of Finance, 67(4), 1219-1264.

  48. Pastor, L., and P., Veronesi (2013). “Political uncertainty and risk premia.” Journal of Financial Economics, 110 (3), 520-545.

  49. Pesaran, H.H., and Y., Shin (1998). “Generalized impulse response analysis in linear multivariate models.” Economics Letters, 58(1), 17-29.

  50. Pindyck, R.S., and J.J., Rotemberg (1990). “Excess co-movement of commodity prices.” Economic Journal, 100, 1173-1189.

  51. Rahman, S., and A., Serletis (2011). “The asymmetric effects of oil price shocks.” Macroeconomic Dynamics, 15(S3), 437-471.

  52. Robert Ackrill and Adrian Kay, WTO Regulations and Bioenergy Sustainability Certification – Synergies and Possible Conflicts. 2010/8 2010/6 2010/5 2010/4 2010/3 2010/2 2010/1 2009/7 2009/6 2009/5 2009/4 2009/3 2009/2 2009/1 2008/16 2008/15 Paul Alagidede, Simeon Coleman and Juan Carlos Cuestas, Persistence Of Inflationary Shocks: Implications For West African Monetary Union Membership.

  53. Shang, H., Yuan, P., and L., Huang (2016). “Macroeconomic factors and the cross-section of commodity futures returns.” International Review of Economics and Finance, 45, 316-332.

  54. Silvennoinen, A., and S., Thorp (2015). “Financialization, crisis and commodity correlation dynamics.” Journal of International Financial Markets, Institutions and Money, 24, 42-65.
    Paper not yet in RePEc: Add citation now
  55. Tang, K., and W., Xiong (2012). “Index investment and the financialization of commodities.” Financial Analysts Journal, 68(5), 54-74.
    Paper not yet in RePEc: Add citation now
  56. The blue line shows the estimated IRFs and the dashed lines show the corresponding 95% bootstrapped confidence intervals. The bootstrapped standard errors have been estimated by using 1000 replications.
    Paper not yet in RePEc: Add citation now
  57. The blue line shows the estimated IRFs and the dashed lines show the corresponding 95% bootstrapped confidence intervals. The bootstrapped standard errors have been estimated by using 1000 replications. Figure 6. Impulse Response Functions (IRFs) between Realized Variance in Commodity Market Index and Financial Uncertainty (FU) (8-factor VAR Model) This figure shows the estimated Impulse Response Functions between the Financial Uncertainty (FU) and the monthly Realized Variance of the Commodity Futures Market Index (COMRV). The IRFs are estimated for the 8-factor VAR model given in Equation (2) of the Appendix. The blue line shows the estimated IRFs and the dashed lines show the corresponding 95% bootstrapped confidence intervals.
    Paper not yet in RePEc: Add citation now
  58. The bootstrapped standard errors have been estimated using 1000 replications.
    Paper not yet in RePEc: Add citation now

  59. Van Robays, I. (2016). “Macroeconomic uncertainty and oil price volatility.” Oxford Bulletin of Economics and Statistics, 78(5), 671-693.

  60. Vitor Leone And Bruce Philp, Surplus-Value And Aggregate Concentration In The UK Economy, 1987-2009.
    Paper not yet in RePEc: Add citation now

  61. Wang, Z., Fausti, S.W., and B.A., Qasmi (2012). “Variance risk premiums and predictive power of alternative forward variances in the corn market.” Journal of Futures Markets, 32(6), 587-608.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Price and Volatility Linkages between International REITs and Oil Markets. (2019). Soytas, Ugur ; Nazlioglu, Saban ; GUPTA, RANGAN ; Gormus, Alper.
    In: Working Papers.
    RePEc:pre:wpaper:201954.

    Full description at Econpapers || Download paper

  2. Price volatility and risk management: The case of rice in the EU. (2019). Banterle, Alessandro ; Vandone, Daniela.
    In: Economia agro-alimentare.
    RePEc:fan:ecaqec:v:html10.3280/ecag2019-002005.

    Full description at Econpapers || Download paper

  3. The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management. (2019). Krištoufek, Ladislav ; Janda, Karel ; Kristoufek, Ladislav.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2019-20.

    Full description at Econpapers || Download paper

  4. Risk appetite and the prices of precious metals. (2019). Qadan, Mahmoud.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:136-153.

    Full description at Econpapers || Download paper

  5. Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis. (2019). Zhu, Xuehong ; Zhong, Meirui ; Chen, Jinyu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:61:y:2019:i:c:p:489-500.

    Full description at Econpapers || Download paper

  6. The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets. (2019). Soytas, Ugur ; Ugurlu-Yildirim, Ecenur ; Ordu-Akkaya, Beyza Mina.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:61:y:2019:i:c:p:410-422.

    Full description at Econpapers || Download paper

  7. Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries. (2019). Guillaumin, Cyriac ; Boubakri, Salem ; Silanine, Alexandre.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:60:y:2019:i:c:p:212-228.

    Full description at Econpapers || Download paper

  8. Measuring the increasing connectedness of Chinese assets with global assets: using a variance decompositions method. (2019). Ye, Xiangting ; Sun, Wencong ; Fang, Libing ; Yu, Honghai.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:58:y:2019:i:5:p:1261-1290.

    Full description at Econpapers || Download paper

  9. Bidirectional spillover effect between Russian stock index and the selected commodities. (2018). Živkov, Dejan ; Momilovi, Mirela ; Njegi, Jovan.
    In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
    RePEc:rfe:zbefri:v:36:y:2018:i:1:p:29-53.

    Full description at Econpapers || Download paper

  10. Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong.
    In: MPRA Paper.
    RePEc:pra:mprapa:84464.

    Full description at Econpapers || Download paper

  11. Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

    Full description at Econpapers || Download paper

  12. The Impact of Uncertainty Shocks on the Volatility of Commodity Prices.. (2018). Bakas, Dimitrios ; Triantafyllou, Athanasios.
    In: NBS Discussion Papers in Economics.
    RePEc:nbs:wpaper:2018/02.

    Full description at Econpapers || Download paper

  13. Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach. (2018). Yin, Libo ; Ma, Xiyuan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:508:y:2018:i:c:p:434-453.

    Full description at Econpapers || Download paper

  14. Is food financialized? Yes, but only when liquidity is abundant. (2018). Soytas, Ugur ; Oran, Adil ; Ordu, Beyza Mina.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:95:y:2018:i:c:p:82-96.

    Full description at Econpapers || Download paper

  15. Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

    Full description at Econpapers || Download paper

  16. Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Yarovaya, Larisa ; Urquhart, Andrew ; Piljak, Vanja ; lucey, brian ; Loncarski, Igor ; Lindblad, Annika ; Larkin, Charles ; Kearney, Fearghal ; Fernandez, Viviana ; Brzeszczynski, Janusz ; Goodell, John W ; Vu, Anh N ; Helbing, Pia ; Lonarski, Igor ; Sheng, Xin ; Carchano, Oscar ; McGroarty, Frank ; Dimic, Nebojsa ; Gonzalez-Urteaga, Ana ; Marin, Matej ; Gogolin, Fabian ; Wolfe, Simon ; Sevic, Aleksandar ; Ohagan-Luff, Martha ; Laing, Elaine ; Vigne, Samuel A ; Barbopoulos, Leonidas ; Stafylas, Dimitrios ; Versteeg, Roald ; Ballester, Laura ; Neville, Conor ; Ichev, Riste ; McGee, Richard J ; Ly, Kim Cuong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:35-49.

    Full description at Econpapers || Download paper

  17. Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). lucey, brian ; Kearney, Fearghal ; Peat, Maurice ; Gogolin, Fabian ; Vigne, Samuel A.
    In: Energy Economics.
    RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593.

    Full description at Econpapers || Download paper

  18. High-yield bond and energy markets. (2018). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper.
    In: Energy Economics.
    RePEc:eee:eneeco:v:69:y:2018:i:c:p:101-110.

    Full description at Econpapers || Download paper

  19. Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90.

    Full description at Econpapers || Download paper

  20. Equities and Commodities Comovements: Evidence from Emerging Markets. (2018). Ivelina, Pavlova ; Boyrie, DE.
    In: Global Economy Journal.
    RePEc:bpj:glecon:v:18:y:2018:i:3:p:14:n:1.

    Full description at Econpapers || Download paper

  21. Predictability of structural co-movement in commodity prices: the role of technical indicators. (2017). Yin, Libo ; Su, Zhi ; Yang, Qingyuan.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:5:p:795-812.

    Full description at Econpapers || Download paper

  22. The Impact of Uncertainty Shocks on the Volatility of Commodity Prices. (2017). Bakas, Dimitrios ; Triantafyllou, Athanasios.
    In: Working Paper series.
    RePEc:rim:rimwps:17-31.

    Full description at Econpapers || Download paper

  23. Shocks propagation across the futures term structure : evidence from crude oil prices. (2017). Robe, Michel ; Lautier, Delphine ; Raynaud, Franck.
    In: Post-Print.
    RePEc:hal:journl:hal-01781765.

    Full description at Econpapers || Download paper

  24. A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices. (2017). Zagst, Rudi ; Leonhardt, Daniel ; Ware, Antony.
    In: Risks.
    RePEc:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674.

    Full description at Econpapers || Download paper

  25. News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil. (2017). Bassil, Charbel ; Nehme, Tamara ; Hamadi, Hassan.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:41:y:2017:i:c:p:148-157.

    Full description at Econpapers || Download paper

  26. Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. (2017). Roubaud, David ; Bouri, Elie ; Biswal, P C ; Jain, Anshul.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:52:y:2017:i:c:p:201-206.

    Full description at Econpapers || Download paper

  27. Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. (2017). Soytas, Ugur ; Sarı, Ramazan ; Sari, Ramazan ; Kocaarslan, Baris ; Gormus, Alper.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:7:y:2017:i:c:p:41-56.

    Full description at Econpapers || Download paper

  28. Commodity market volatility in the presence of U.S. and Chinese macroeconomic news. (2017). Smales, Lee.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:7:y:2017:i:c:p:15-27.

    Full description at Econpapers || Download paper

  29. Modeling the multivariate dynamic dependence structure of commodity futures portfolios. (2017). Füss, Roland ; Erik, Tom ; Fuss, Roland ; Aepli, Matthias D ; Paraschiv, Florentina.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:6:y:2017:i:c:p:66-87.

    Full description at Econpapers || Download paper

  30. Black swan events and safe havens: The role of gold in globally integrated emerging markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Boubaker, Sabri.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:73:y:2017:i:pb:p:317-334.

    Full description at Econpapers || Download paper

  31. Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Adams, Zeno ; Gluck, Thorsten ; Fuss, Roland.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

    Full description at Econpapers || Download paper

  32. Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter ; Todorova, Neda.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

    Full description at Econpapers || Download paper

  33. “De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets. (2017). Zhang, Yue-Jun ; Guesmi, Khaled ; Chevallier, Julien.
    In: Energy Economics.
    RePEc:eee:eneeco:v:68:y:2017:i:c:p:228-239.

    Full description at Econpapers || Download paper

  34. Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Reyes, T ; Campos, I ; Cortazar, G.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

    Full description at Econpapers || Download paper

  35. The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. (2017). Tiwari, Aviral ; Roubaud, David ; Mensi, walid ; Bouri, Elie ; Al-Yahyaee, Khamis.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:122-139.

    Full description at Econpapers || Download paper

  36. Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. (2017). Mitra, Subrata K ; Pal, Debdatta.
    In: Energy Economics.
    RePEc:eee:eneeco:v:62:y:2017:i:c:p:230-239.

    Full description at Econpapers || Download paper

  37. Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets. (2017). Uddin, Gazi ; SANDOVAL JUNIOR, LEONIDAS ; Nguyen, Duc Khuong ; Bekiros, Stelios.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:3:p:945-961.

    Full description at Econpapers || Download paper

  38. A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks. (2017). Nazlioglu, Saban ; Karul, Cagin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:61:y:2017:i:c:p:181-192.

    Full description at Econpapers || Download paper

  39. Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios.
    In: Bank of Estonia Working Papers.
    RePEc:eea:boewps:wp2016-11.

    Full description at Econpapers || Download paper

  40. Examining the Common Dynamics of Commodity Futures Prices. (2017). Gross, Christian.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:6317.

    Full description at Econpapers || Download paper

  41. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Derek, Julien Chevallier ; Sevi, Benoit.
    In: The Energy Journal.
    RePEc:aen:journl:ej38-2-bunn.

    Full description at Econpapers || Download paper

  42. Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Boubaker, Sabri.
    In: MPRA Paper.
    RePEc:pra:mprapa:75740.

    Full description at Econpapers || Download paper

  43. Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets. (2016). Uddin, Gazi ; SANDOVAL JUNIOR, LEONIDAS ; Nguyen, Duc Khuong ; Bekiros, Stelios.
    In: MPRA Paper.
    RePEc:pra:mprapa:73397.

    Full description at Econpapers || Download paper

  44. Comovement and the financialization of commodities. (2016). Taschini, Luca ; Bonato, Matteo.
    In: GRI Working Papers.
    RePEc:lsg:lsgwps:wp215.

    Full description at Econpapers || Download paper

  45. Increasing Trends in the Excess Comovement of Commodity Prices. (2016). Okimoto, Tatsuyoshi ; Ohashi, Kazuhiko.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2016-09.

    Full description at Econpapers || Download paper

  46. Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets. (2016). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:277-285.

    Full description at Econpapers || Download paper

  47. A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

    Full description at Econpapers || Download paper

  48. Increasing trends in the excess comovement of commodity prices. (2016). Okimoto, Tatsuyoshi ; Ohashi, Kazuhiko.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:1:y:2016:i:1:p:48-64.

    Full description at Econpapers || Download paper

  49. Financial Markets and Agricultural Commodities: Volatility Impulse Response Analysis. (2016). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela.
    In: 2016 International European Forum (151st EAAE Seminar), February 15-19, 2016, Innsbruck-Igls, Austria.
    RePEc:ags:iefi16:244461.

    Full description at Econpapers || Download paper

  50. Comovements and Volatility Spillover in Commodity Markets. (2016). Wu, Ximing ; Chen, Sihong.
    In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts.
    RePEc:ags:aaea16:235686.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-07-15 23:24:32 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated July, 2 2024. Contact: Jose Manuel Barrueco.