RETRACTED ARTICLE: Economic policy uncertainty and commodity market volatility: implications for economic recovery

Abstract

As a consequence of the COVID-19 pandemic outbreak, most commodities experienced significant price drops, which were expected to continue well into 2020. As a result, the Markov switching model is used to study the influence of policy uncertainty and the COVID-19 pandemic on commodity prices in the USA. Commodity markets are stimulated by economic policy uncertainty, according to results from a two-state Markov switching model. In both high and low regimes, economic policy uncertainty (EPU) influences the commodity market, according to the study's findings. However, in the high regime, EPU has a greater influence on the energy and metal sectors. EPU has different influences on commodity markets in highand low-volatility regimes, according to this study. There is a wide range of correlations between COVID-19 outcomes and EPU and how the prices of natural gas, oil, corn, silver, soybean, copper, gold, and steel respond to these tremors, in both high-and low-volatility tenure. Oil and natural gas, on the other hand, are unaffected by shifts in COVID-19 death rates under either regime. Results show that in both high-and low-volatility regimes, the demand and supply for most commodities are responsive to historical prices.

Exploring time-varying impact of world pandemic uncertainty on China's commodity prices using TVP-SVAR-SV model

“…The comparison results show that the time-varying effects of WPU on the commodity prices of minerals, non-ferrous metals, energy and steel metals are differentiated, and the WPU has the largest time-varying effects on the commodity prices of minerals and the smallest time-varying effects on the commodity prices of steel. The empirical results verify the research hypothesis H3, and is consistent to Xiao et al ( 53 ) finding as the impact of steel stands at 0.012%, suggesting that compared to other commodities, steel is the least affected by the epidemic.…”

Quantile connectedness in agri-commodity markets: What has changed over past six decades?

“…Uncertainty in many areas and demand-supply mismatch owing to war like situations (for past 62 years) fuelled the price volatility of these commodities. Sometimes, the impact is not direct, however, the impact is due to disruption of the global and domestic supply chain [ 33 ].…”

An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading

“…Ahmed and Sarkodie [47], Foroni et al [48], and Xiao et al [49] modeled the performance of agricultural and energy prices with the impact of news sentiment related to economic policy uncertainty [50] and pandemic news (COVID-19) sentiment. All these authors found that agricultural and energy commodities are negatively affected by an increase in economic policy-related uncertainty, and only the agricultural ones had a bad performance when the bad sentiment related to news of COVID-19 increased.…”