The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second analyze the uncertainty connectedness among markets macroeconomic uncertainty, using time-varying vector-autoregressive (TVP-VAR) model. We use eight markets, namely energy, fats oils, beverages, grains, other foods, raw materials, industrial meals, precious metals. sample covers period from January 1960 June 2020. estimated uncertainties are proven be leading indicators of rather than volatility in markets. In addition, analysis indicates that persistent spillover effects on especially during recent COVID-19 pandemic period. It also found energy shocks drivers oils is influence driver spillovers agriculture commodities. achieved results important significance policymakers, firms, investors build accurate forecasts uncertainties.