Metal and energy price uncertainties and the global economy

Natalia Ponomareva, Jeffrey Sheen, Ben Zhe Wang*

*Corresponding author for this work

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We construct novel monthly measures of energy and metal price uncertainty based on the one-year-ahead price forecast dispersion for twenty commodities. Using a simple VAR model, we show both metal and energy price uncertainty shocks are contractionary for the world economy, and these results are largely robust to a battery of alternative specifications. However, our results highlight the differences between metal and energy price uncertainties, both in terms of their propagation channels, as well as the driving forces behind them. Counterfactual analysis reveals that metal price uncertainty has a mainly direct impact on global economic activity while the impact of energy price uncertainty is indirectly mediated through global financial and economic uncertainties. Variance decomposition shows fluctuations of both metal and energy price uncertainties are mainly self-driven, however global financial uncertainty plays a significant role in driving metal price uncertainty in the short run while global economic activity uncertainty plays a significant role in driving energy price uncertainty in the medium to long run.

Original languageEnglish
Article number103044
Pages (from-to)1-17
Number of pages17
JournalJournal of International Money and Finance
Publication statusPublished - May 2024

Bibliographical note

Copyright © 2024 The Author(s). Published by Elsevier Ltd. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.


  • Energy price uncertainty
  • Forecast disagreement
  • Metal price uncertainty


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