The impact of economic policy uncertainty and commodity prices on CARB country stock market volatility

In this multivariate VAR setting, we control for aggregate demand and commodity specific demand (via commodity price returns) shocks, hence, we take into account the

Moreover, our forecasting regression models show that, unlike oil prices and oil price volatility, our oil price uncertainty factor has robust predictive power

1 While many studies verify this negative impact of uncertainty shocks on the macroeconomy and equity markets, there is limited empirical evidence in the

Ciner (2001) investigates the relationship between oil prices and the stock market in the United States using daily data and find the evidence that oil shocks affect stock

Ciner (2001) investigates the relationship between oil prices and the stock market in the United States using daily data and find the evidence that oil shocks affect

markets returns, while increases in the volatility of policy uncertainty lead to negative stock market.. returns and

The paper studied various dimensions of stock market volatility including measurement and nature of impact of volatility with the help of important economic literatures.It

To forecast volatility in global food commodity prices in this paper we employed thin tailed normal distribution, and fat-tailed Student t-distribution GARCH models,