A0639
Title: Commodity price uncertainty comovement: Does it matter for global economic growth?
Authors: Aikaterini Karadimitropoulou - University of Piraeus (Greece) [presenting]
Laurent Ferrara - SKEMA Business School (France)
Athanassios Triantafyllou - Audencia Business School (France)
Abstract: Using a dynamic factor model, a global commodity uncertainty factor is estimated, which captures comovement in volatilities of major agricultural, metals, and energy commodities. Then, impulse response functions computed via a structural VAR model show that an increase in this global shock results in a substantial drop in investment and trade, for both emerging and advanced economies. Last, the methodology disentangles "good" and "bad" macroeconomic effects of oil price uncertainty: An oil price uncertainty shock common to all commodities leads to recessionary effects. However, positive short-run effects are observed when this shock is only specific to the oil market.
