silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This … paper tackles this issue through the estimation of a threshold vector autoregressive (TVAR) model on a sample of 19 … prices. Interestingly, our analysis further reveals that volatility and uncertainty in prices can be disconnected. This is …

(EPU) in predicting commodity price and volatility has also emerged. However, in commodity markets, investors’ concerns are …

and losses of income associated with changes in world prices-as well as additional country-specific series, including …

secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and … investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple … breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years …

secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and … investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple … breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years …