A1066
Title: Metal price uncertainty and macroeconomic dynamics
Authors: Ines Fortin - Institute for Advanced Studies (Austria) [presenting]
Jaroslava Hlouskova - Institute for Advanced Studies (Austria)
Abstract: A new index measuring metal price uncertainty, following existing methodology, is constructed. The effects of metal price uncertainty shocks are then examined on economic activity as well as on the stock and commodity markets, considering impulse response functions in a vector error correction model setup. In addition, the relative importance of metal price uncertainty is assessed as a leading indicator for real and monetary developments in a forecasting analysis. Concerning commodities, the focus is on industrial metals traded at the London Metal Exchange. Empirical analyses are performed for the Euro area and the United States.
