Uncertainty, Macroeconomic Activity and Commodity Price: A Global Analysis

34 Pages Posted: 15 Nov 2018

See all articles by Yifan Shen

Yifan Shen

Nanjing Audit University

Xunpeng Shi

Australia China Relations Institute, UTS; Energy Studies Institute, National University of Singapore

Ting Zeng

Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management

Date Written: November 8, 2018

Abstract

We extend Jurado et al. (2015)’s forecast-error-based uncertainty measure to the international context, and construct a new measure of global uncertainty. We examine dynamic causal effects among global uncertainty and other global macroeconomic variables, and provide two important applications of our global uncertainty measure by linking it to the price formation mechanism of oil and international uncertainty spillover effects. We show that the well-documented relation between uncertainty and real activities is not only a regional issue, but also a global phenomenon. Global uncertainty also plays a key role in determining commodity prices, as well as driving business cycle fluctuations in a certain economy.

Keywords: Uncertainty Shocks, International Economics, Commodity Price, Oil Price

JEL Classification: C32, E32, F44, O13

Suggested Citation

Shen, Yifan and Shi, Xunpeng and Zeng, Ting, Uncertainty, Macroeconomic Activity and Commodity Price: A Global Analysis (November 8, 2018). Available at SSRN: https://ssrn.com/abstract=3280848 or http://dx.doi.org/10.2139/ssrn.3280848

Yifan Shen (Contact Author)

Nanjing Audit University ( email )

86 Yushan W Rd
Pukou, Jiangsu 210017
China

Xunpeng Shi

Australia China Relations Institute, UTS ( email )

15 Broadway, Ultimo
PO Box 123
Sydney, NSW 2007
Australia

Energy Studies Institute, National University of Singapore ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

Ting Zeng

Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management ( email )

55 Guanghuacun Street
Chengdu, Sichuan 610074
China

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