Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2024-10-16 DOI:10.1016/j.jcomm.2024.100440

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Abstract

This paper aims to explore the complex linkages and evolving structure of price volatility in the global oil, biofuels, and grain commodity markets during periods of global turbulence. With the growing urgency for energy stability amid climate change, biofuels are gaining traction as a viable alternative energy source. However, their production can significantly impact essential commodities like grains and vegetable oils, increasing food prices and heightened market volatility. We introduced a TVP-VAR frequency connectedness method to address this, analyzing data from January 1, 2013, to September 29, 2023. Our approach offers a fresh perspective on market dynamics and geopolitical risks.

The study underscores the growing influence of agricultural shocks on energy markets, particularly within the ethanol sector. It confirms that the Russia-Ukraine war, a significant geopolitical event, has had a profound and enduring impact on the interconnectedness of these markets across various timeframes and frequencies. We offer concrete, actionable policy recommendations to mitigate the transmission of market shocks within the energy and food sectors, thereby bolstering investor and policymaker confidence and facilitating informed decision-making.

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地缘政治风险在波动结构中的重要性：来自生物燃料、原油和谷物商品市场的新证据

本文旨在探讨全球动荡时期全球石油、生物燃料和谷物商品市场价格波动的复杂联系和演变结构。随着气候变化对能源稳定性的要求日益迫切，生物燃料作为一种可行的替代能源正受到越来越多的关注。然而，生物燃料的生产会对谷物和植物油等基本商品产生重大影响，导致粮食价格上涨，加剧市场波动。为此，我们引入了 TVP-VAR 频率连通性方法，分析了 2013 年 1 月 1 日至 2023 年 9 月 29 日的数据。我们的方法为市场动态和地缘政治风险提供了一个全新的视角。研究强调了农业冲击对能源市场日益增长的影响，尤其是在乙醇行业。研究证实，俄乌战争这一重大地缘政治事件对这些市场在不同时间框架和频率下的相互关联性产生了深远而持久的影响。我们提出了具体可行的政策建议，以减轻市场冲击在能源和食品行业的传播，从而增强投资者和决策者的信心，促进知情决策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.