Ben Haddad, Hedi; Mezghani, Imed; Gouider, Abdessalem - In: Economies : open access journal 9 (2021) 2, pp. 1-22
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 commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw …