This study examines the time-varying effects of uncertainty shocks identified using the external instrument method on the broad-based movement of commodity returns since the early 1990s. We employ a vector autoregression augmented dynamic factor model with time-varying parameters and stochastic volatility to extract a common factor from 43 commodity returns. We find that uncertainty shocks reduce commodity returns across the board through this common factor and that their effects vary significantly over time, with a tendency to grow much stronger during recessions. Furthermore, uncertainty shocks often lead to dollar appreciation, so they can potentially account for the seemingly negative correlation between commodity returns and strength of the US dollar.

中文翻译：

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大宗商品回报联动、不确定性冲击和美元汇率

本研究考察了自 20 世纪 90 年代初以来使用外部工具方法确定的不确定性冲击对大宗商品回报变动的随时间变化的影响。我们采用具有时变参数和随机波动性的向量自回归增强动态因子模型，从 43 种商品收益中提取公因子。我们发现，不确定性冲击通过这个共同因素全面降低了大宗商品的回报，并且其影响随着时间的推移而显着变化，在经济衰退期间往往会变得更加强烈。此外，不确定性冲击往往会导致美元升值，因此它们可以解释大宗商品回报与美元强势之间看似负相关的原因。