Food-fuel nexus beyond mean-variance: New evidence from a quantile approach

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2024-10-20 DOI:10.1016/j.jcomm.2024.100441

Linjie Wang , Xiaoli Etienne , Jian Li

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引用次数: 0

Abstract

This paper investigates the dynamic relationship between crude oil, ethanol, and corn markets across various quantiles of return distributions, as well as at higher statistical moments. Using a quantile vector autoregression model and data from 2007 to 2022, we find that the cross-market linkages are quantile dependent, with the strongest connections observed in the tails of the distribution. A shock to the oil market significantly impacts ethanol and corn returns under extreme bearish and bullish conditions. Positive shocks to the corn market reduce ethanol returns when the ethanol market is highly bullish, but this effect becomes positive in the left tail of the distribution. We also identify significant co-movement in higher statistical moments between these markets. Extreme excess kurtosis in the food-fuel nexus is more likely to occur with high financial market uncertainty, a bullish stock market, contracting industrial production, and a strong US dollar. In addition to these variables, credit spreads, futures market liquidity, futures term structure, and hedging pressure also influence kurtosis in individual markets within the nexus.

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超越均值方差的粮食-燃料关系：来自量化方法的新证据

本文研究了原油、乙醇和玉米市场在收益率分布的不同量级以及更高的统计时刻之间的动态关系。利用量级向量自回归模型和 2007 年至 2022 年的数据，我们发现跨市场的联系取决于量级，在分布的尾部观察到最强的联系。在极端看跌和看涨的情况下，石油市场的冲击会对乙醇和玉米的收益产生重大影响。当乙醇市场高度看涨时，玉米市场的正向冲击会降低乙醇收益率，但这种影响在分布的左尾部变为正向。我们还发现这些市场之间在较高统计矩上存在明显的共同波动。在金融市场不确定性高、股市看涨、工业生产萎缩和美元走强的情况下，粮食与燃料之间的关系更容易出现极度过度峰度。除这些变量外，信用利差、期货市场流动性、期货期限结构和套期保值压力也会影响关联中各个市场的峰度。

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.