A0854
Title: Commodity price uncertainty and macroeconomic dynamics
Authors: Ines Fortin - Institute for Advanced Studies (Austria) [presenting]
Jaroslava Hlouskova - Institute for Advanced Studies (Austria)
Abstract: Following the existing methodology, a new index is constructed, measuring commodity price uncertainty. The effects of commodity price uncertainty shocks are then examined on economic activity in the euro area, considering impulse response functions in a small VAR setup. Regime-dependent dynamics are allowed for, conditional on high or low commodity price uncertainty, and other uncertainty measures or commodity prices are also used to define regimes. In addition, the relative importance of commodity price uncertainty is assessed as a leading indicator for real and monetary developments in a forecasting analysis. The analysis focuses on certain commodity groups, in particular, selected industrial metals traded at the London Metal Exchange.
