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.

中文翻译：

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金属和能源价格的不确定性与全球经济

我们根据二十种商品的未来一年价格预测离散度构建了新的能源和金属价格不确定性月度衡量指标。使用简单的 VAR 模型，我们表明金属和能源价格的不确定性冲击都会对世界经济造成收缩，并且这些结果对于一系列替代规格来说在很大程度上是稳健的。然而，我们的结果凸显了金属和能源价格不确定性之间的差异，无论是在传播渠道还是其背后的驱动力方面。反事实分析表明，金属价格不确定性主要对全球经济活动产生直接影响，而能源价格不确定性的影响则是通过全球金融和经济不确定性间接介导的。方差分解显示，金属和能源价格不确定性的波动主要是自驱动的，但全球金融不确定性在短期内对金属价格不确定性具有显着驱动作用，而全球经济活动不确定性在短期内对能源价格不确定性具有显着驱动作用。中长期来看。