Commodity Price Volatility and the Economic Uncertainty of Pandemics

16 Pages Posted: 5 May 2020

See all articles by Dimitrios Bakas

Dimitrios Bakas

Nottingham Trent University

Athanasios Triantafyllou

University of Essex - Essex Business School

Date Written: April 10, 2020

Abstract

In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific,we explore the impact of economic uncertainty related to global pandemics on the volatility of the S&P GSCI commodity 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. Our findings remain robust to a series of robustness checks.

Keywords: Pandemics, Commodity Markets, Economic Uncertainty, Volatility

JEL Classification: C32, Q02, I10

Suggested Citation

Bakas, Dimitrios and Triantafyllou, Athanasios, Commodity Price Volatility and the Economic Uncertainty of Pandemics (April 10, 2020). Available at SSRN: https://ssrn.com/abstract=3581193 or http://dx.doi.org/10.2139/ssrn.3581193

Dimitrios Bakas (Contact Author)

Nottingham Trent University ( email )

Burton Street
NG1 4BU Nottingham
United Kingdom

Athanasios Triantafyllou

University of Essex - Essex Business School ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

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