Does economic uncertainty matter in international commodity futures markets?

Sun Young Kim, Kyung Yoon Kwon

Research output: Contribution to journalArticlepeer-review


This paper examines whether economic uncertainty risk is significantly priced in international commodity futures markets. Contrary to the belief that commodity futures are sensitive to economic uncertainty, our results provide concrete evidence that uncertainty risk is not significantly priced. To explain these results, we examine whether financial intermediaries who are supposed to be marginal investors are not uncertainty averse. We find that the effect of economic uncertainty becomes insignificant after financialization, that is, a large inflow of financial investors, in 2004 and the relation between economic uncertainty and intermediaries' leverage ratio is insignificant. These results suggest that economic uncertainty might not be priced because it is not a significant concern of financial intermediaries.
Original languageEnglish
JournalInternational Journal of Finance and Economics
Early online date14 Sep 2020
Publication statusE-pub ahead of print - 14 Sep 2020


  • asset pricing
  • economic uncertainty
  • financial intermediaries


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