Volatility of international commodity prices in times of COVID-19: Effects of oil supply and global demand shocks

Ezeaku, Hillary Chijindu; Asongu, Simplice; Nnanna, Joseph

doi:10.1016/j.exis.2020.12.013

Cited by 47 publications

(32 citation statements)

References 37 publications

(32 reference 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%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

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This paper investigates the switching effect of COVID-19 pandemic and economic policy uncertainty on commodity prices. We employ Markov regime-switching dynamic model to explore price regime dynamics of eight widely traded commodities namely oil, natural gas, corn, soybeans, silver, gold, copper, and steel. We fit two Markov switching regimes to allow parameters to respond to both low and high volatilities. The empirical evidence shows oil, natural gas, corn, soybean, silver, gold, copper, and steel returns adjust to shocks in COVID-19 outcomes and economic policy uncertainty at varying degrees––in both low volatility and high volatility regimes. In contrast, oil and natural gas do not respond to changes in COVID-19 deaths in both regimes. The findings show most commodities are responsive to historical price in terms of demand and supply in both volatility regimes. Our findings further show a high probability that commodity prices will remain in low volatility regime than in high volatility regime––owing to COVID-19-attributed market uncertainties. These findings are useful to both investors and policymakers––as precious metals and agricultural commodities show less negative response to exogenous variables. Thus, investors and portfolio managers could use precious metals, viz. Gold for short-term cover against systematic risks in the market during the period of global pandemic.

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Section: Resultssupporting

confidence: 90%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

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“…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 Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

2021

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The main objective of the study is to assess the similarity between the time series of energy commodity prices and the time series of daily COVID-19 cases. The COVID-19 pandemic affects all aspects of the global economy. Although this impact is multifaceted, we assess the connections between the number of COVID-19 cases and the energy commodities sector. We analyse these connections by using the Dynamic Time Warping (DTW) method. On this basis, we calculate the similarity measure—the DTW distance between the time series—and use it to group the energy commodities according to their price change. Our analysis also includes finding the time shifts between daily COVID-19 cases and commodity prices in subperiods according to the chronology of the COVID-19 pandemic. Our findings are that commodities such as ULSD, heating oil, crude oil, and gasoline are weakly associated with COVID-19. On the other hand, natural gas, palm oil, CO2 allowances, and ethanol are strongly associated with the development of the pandemic.

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“…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%

COVID-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries

Żebrowska‐Suchodolska¹,

Karpio²,

Kompa³

2021

ERSJ

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Volatility of international commodity prices in times of COVID-19: Effects of oil supply and global demand shocks

Cited by 47 publications

References 37 publications

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

COVID-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries

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