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• W3154755311 endingPage "102079" @default.
• W3154755311 startingPage "102079" @default.
• W3154755311 abstract "We explore the time-varying effects of financial and geopolitical uncertainties on commodity markets using a time-varying parameter structural vector autoregression with stochastic volatility (TVP-SVAR-SV) model. Our results indicate that the effects of geopolitical and financial uncertainties on commodity dynamics are concentrated in the short-term, and commodity volatility is more affected than returns. The volatility of commodity futures responds differently to different types of financial uncertainty shocks, and the uncertainty shocks caused by financial stress have produced relatively large effects, especially since the global financial crisis. Furthermore, our findings contradict traditional wisdom, as we observe that the uncertainty shocks caused by financial liquidity lead to increased commodity returns only in the short term. There are obvious heterogeneity responses of commodity futures in different sectors to uncertainty shocks. Energy and industrial metals are more affected than other commodities. Our findings are an important reference for decision makers and investors. • A TVP-SVAR-SV model is used to study the time-varying effects of uncertainty shocks on commodity markets. • Financial uncertainty has more significant impact compared to the geopolitical uncertainty. • The uncertainty shocks caused by financial liquidity promote commodity returns only in the short term. • The uncertainty shocks caused by financial stress have stronger effects on the volatility of energy and industrial metals." @default.
• W3154755311 created "2021-04-26" @default.
• W3154755311 creator A5032333686 @default.
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• W3154755311 date "2021-08-01" @default.
• W3154755311 modified "2023-10-17" @default.
• W3154755311 title "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis" @default.
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• W3154755311 doi "https://doi.org/10.1016/j.resourpol.2021.102079" @default.
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