Commodity Price Uncertainty Comovement: Does it matter for global economic growth

Seminar abstract

Global economic activity is surrounded by increasing uncertainties from various sources.

In this presentation, we focus on commodity prices and estimate a global commodity uncertainty factor by capturing comovement in volatilities of major agricultural, metals and energy commodity markets through a group-specific Dynamic Factor Model.

Then, by computing impulse response functions estimated using a small-scale Structural VAR model, we find that an increase in the common commodity price uncertainty results in a substantial and persistent drop in investment and trade, for a set of emerging and advanced economies.

We also show that a global commodity uncertainty shock is more detrimental for economic growth than usual financial and economic policy uncertainty shocks.

Last, our methodology turns out to be an efficient way to disentangle "good" and "bad" macroeconomic effects of oil price uncertainty: when an oil price uncertainty shock is common to all commodities, then the macroeconomic effect is likely to be negative, similar to a global demand shock. However, when the uncertainty shock is only specific to the oil market, the short-run effect tends to be positive.

How to attend this seminar

This seminar is free to attend and we ask that you contact the EFiC Event organiser for further details.

We welcome you to join us online on Wednesday 1 December 2021 at 2pm

Speaker bio

Dr. Aikaterini-Effraimia (Katerina) Karadimitropoulou is Assistant Professor of Economic Analysis at the Department of Economics of the University of Piraeus. Before this, Katerina was a Senior Lecturer in Macroeconomics at the University of East Anglia, Norwich, UK.

Her research areas of interest include International Macroeconomics and Finance, Applied Macroeconomics, (International) Business Cycles, Economic Growth, Experimental Macroeconomics and Finance.

Her work has been published in journals such as the Journal of Money, Credit and Banking, the Journal of Economic, Dynamics and Control, and Macroeconomic Dynamics, and part of her research has been financed by the European Commission’s Horizon 2020, Marie Sklodowska Curie Action (MSCA) and the Economic and Social Research Couclil (ESRC) grants.