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...

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...

This paper evaluates the degree of the pass-through effect of the oil price shock to six CPI sub-indices in the US. We report substantially weaker pass-through effects in less energy-intensive sectors compared with those in more energy-intensive sectors. We attempt to find an explanation for...