Global economic activity is surrounded by increasing uncertainties from various sources. In this paper, 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...

We estimate a global commodity uncertainty factor by capturing comovement in volatilities of major commodity markets through a group-specific Dynamic Factor Model. Then, by computing impulse response functions using a Structural VAR model, we find that an increase in the common commodity price...

In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we re-examine the evidence for this predictor for the...