Metal and energy price uncertainties and the global economy
基于二十种大宗商品的一年期预测价格离散度，构建了金属和能源价格不确定性的月度指标，发现两者冲击都会导致全球经济收缩，但传导机制不同：金属不确定性直接影响经济活动，能源不确定性则通过金融和经济不确定性间接传导。
We construct novel monthly measures of energy and metal price uncertainty based on the one-year-ahead price forecast dispersion for twenty commodities. Using a simple VAR model, we show both metal and energy price uncertainty shocks are contractionary for the world economy, and these results are largely robust to a battery of alternative specifications. However, our results highlight the differences between metal and energy price uncertainties, both in terms of their propagation channels, as well as the driving forces behind them. Counterfactual analysis reveals that metal price uncertainty has a mainly direct impact on global economic activity while the impact of energy price uncertainty is indirectly mediated through global financial and economic uncertainties. Variance decomposition shows fluctuations of both metal and energy price uncertainties are mainly self-driven, however global financial uncertainty plays a significant role in driving metal price uncertainty in the short run while global economic activity uncertainty plays a significant role in driving energy price uncertainty in the medium to long run.