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...