Original scientific paper
https://doi.org/10.1080/1331677X.2022.2164036
The effect of macroeconomic regimes, uncertainty, and COVID-19 outcomes on commodity price volatility: implications for green economic recovery
Xiangyu Wang
Yi Yang
Minmin Tang
Xiaoyun Wang
Abstract
COVID-19 adversely affected all market mechanisms, shocked
economies, halted business operations, and disrupted supply
chains. This study examines macroeconomic instability by assessing
the commodities market in highly traded regimes using
descriptive statistical analysis, the Economic Policy Uncertainty
(EPU) Index, and Markov Regime Swapping (MRS) for data covering
February 26 to November 30, 2020. The findings indicate that
most commodities respond to stock values in both high and lowvolatility
regimes of supply and demand. Additionally, commodity
prices are still in a low volatility regime due to COVID-19-related
market uncertainty. The returns for oil, corn, gold, copper, natural
gas, silver, and soybeans adapt to low macroeconomic uncertainty
and variable rankings for COVID-19. In contrast, changes in
COVID-19 deaths had no impact on natural gas or oil under any
regime. As agricultural commodities and valuable metals have
less negative feedback to exogenous variables than any other
commodities, this model is useful for regulators and stockholders.
The results suggest that in a global pandemic, portfolio managers
and other stakeholders should use priceless metals like gold as a
short-term hedge against systemic market risks to achieve macroeconomic
stability and facilitate a rapid recovery in the green
economy.
Keywords
Macroeconomic uncertainty; commodity market; COVID- 19; resource policy; Markov switching; gold
Hrčak ID:
319248
URI
Publication date:
26.12.2023.
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