Commodity price volatility and the economic uncertainty of pandemics

We empirically investigate the impact of economic uncertainty related to global pandemics on the volatility of the broad commodity price index as well as on the sub-indexes of crude oil and gold. The results show that uncertainty related to pandemics have a strong negative impact on the volatility o...

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Bibliographic Details
Published in:Economics letters 2020-08, Vol.193, p.109283, Article 109283
Main Authors: Bakas, Dimitrios, Triantafyllou, Athanasios
Format: Article
Language:English
Subjects:
Commodities
Commodity markets
Commodity prices
COVID-19
Crude oil
Economic uncertainty
Gold markets
Markets
Pandemics
Petroleum
Price indexes
Uncertainty
Volatility
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Summary:We empirically investigate the impact of economic uncertainty related to global pandemics on the volatility of the broad commodity price index as well as on the sub-indexes of crude oil and gold. The results show that uncertainty related to pandemics have a strong negative impact on the volatility of commodity markets and especially on crude oil market, while the effect on gold market is positive but less significant. •We investigate the impact of pandemics uncertainty on commodity markets volatility.•The results show a strong negative effect of pandemics on commodity volatility.•The impact is negative for crude oil and positive but less significant for gold.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2020.109283