Joëts, Marc; Mignon, Valérie; Razafindrabe, Tovonony … - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2015
This paper analyzes the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. We rely on a robust measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators, and we estimate a structural threshold VAR (TVAR) model to...