On the economic sources of commodity market volatility

Marcel Prokopczuk, Lazaros Symeonidis

Research output: Working paper


We analyze the effect of macroeconomic and financial uncertainty on the volatility of the aggregate commodity market and of major commodity groups. We find that inflation uncertainty bears some predictive power for commodity market volatility. Moreover, financial variables associated with credit risk and equity market stress are important determinants of commodity market volatility especially after the financialization of commodity markets. Finally, we document for the first time that the equity variance risk premium is a particularly strong predictor of commodity futures volatility.
Original languageEnglish
PublisherSocial Science Research Network
Number of pages63
Publication statusPublished - 23 Oct 2015


  • Economic uncertainty
  • realized volatility
  • financialization
  • variance risk premium

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