This paper examines the role of climate-related migration uncertainties in forecasting agricultural commodity price volatility, an area largely overlooked in existing research focused on supply shocks. Using a newly developed Climate-related Migration Uncertainty Index (CMUI) and its components – the Climate Uncertainty Index (CUI) and Migration Uncertainty Index (MUI) – within a GARCH-MIDAS framework and using quarterly data spanning 1977Q4 to 2024Q1 and daily data spanning 03-10-1977 to 29-03-2024, we find that these indices significantly enhance volatility forecasts in futures and spot markets. Results, validated through statistical and economic evaluations, highlight their predictive and investment relevance.
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https://www.sciencedirect.com/science/article/pii/S0275531925003897