Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main...