2021
DOI: 10.1016/j.exis.2020.12.013
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Volatility of international commodity prices in times of COVID-19: Effects of oil supply and global demand shocks

Abstract: This study examines the effects of oil supply and global demand shocks on the volatility of commodity prices in the metal and agricultural commodity markets using the SVAR model.The empirical evidence is based on real time daily closing international commodity prices covering the period 2 December 2019 to 1 October 2020. The findings are presented in cumulative impulse responses and variance decompositions. The former is utilized to examine the accumulated influence of structural shocks on the volatility of ag… Show more

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Cited by 47 publications
(32 citation statements)
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“…These Markov switching model equations for steel report high probability of staying in low volatility regimes than in high volatility regimes. Our findings are aligned with studies that show cumulative impulse response of gold return is more stable compared to other metal commodities such as copper, silver, and aluminum in the height of COVID-19 pandemic ( Ezeaku et al, 2021 ).…”
Section: Resultssupporting
confidence: 90%
“…These Markov switching model equations for steel report high probability of staying in low volatility regimes than in high volatility regimes. Our findings are aligned with studies that show cumulative impulse response of gold return is more stable compared to other metal commodities such as copper, silver, and aluminum in the height of COVID-19 pandemic ( Ezeaku et al, 2021 ).…”
Section: Resultssupporting
confidence: 90%
“…Changes in energy commodity prices affect changes in other commodity prices. Ezeaku, Asongu, and Nnanna [12] analyse the impact of oil supply and global demand shocks on commodity prices in metals and agricultural commodity markets in the context of the COVID-19 pandemic. This pandemic has already had a significant impact on the economies of most countries and on international financial and commodity markets.…”
Section: Literature Reviewmentioning
confidence: 99%
“…According to the World Bank [11], the primary spill-over effects affecting commodity prices depend on the type of commodity. At the outbreak of the COVID-19 pandemic [12]:…”
Section: Introductionmentioning
confidence: 99%
“…The research covers commodity markets, among others, for which e.g., Ezeaku et al (2021) investigated the volatility of international commodity prices in the times of COVID-19 by the effects of oil supply and global demand shocks. Dutta et al (2020) studied crude oil prices volatility and the biodiesel feedstock market, and Güngör et al (2021) used ARIMA models to investigate the effects of Covid-19 outbreak on Turkish gasoline consumption, while Kamdem et al (2020) have studied the coronavirus impacts on the recent variability of commodity prices through the number of confirmed cases and the total number of deaths.…”
Section: Covid-19 Pandemicmentioning
confidence: 99%