CCER讨论稿:The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility

发布日期:2018-03-05 10:46:02    来源:北京大学国家发展研究院

E2018008                                                                         2018-03-05

The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility[1]

Zhuo Huang, Fang Liang, and Chen Tong

National School of Development, Peking University

 

Abstract

We investigate whether and to what extent macroeconomic uncertainty predicts the volatilities of commodity futures. By examining 15 commodities in 5 categories, we find that the measure of aggregate macroeconomic uncertainty based on a large dataset has sizable predictive effects for commodity volatility. The predictive relationship holds both in-sample and out-of-sample after controlling for lagged volatility. However, the extent of predictability differs across commodities, with energy and metals futures exhibiting the most significant effects. For all commodities, the improvement in forecasting is more pronounced after 2005 and during recession periods.

讨论稿下载:E2018008

 

[1] Zhuo Huang, Fang Liang, and Chen Tong are at the National School of Development, Peking University, Beijing, China. The research is supported by the National Natural Science Foundation of China (71671004, 71301027). Email: zhuohuang@nsd.pku.edu.cn.