Forecasting spot and futures price volatility of agricultural commodities: The role of climate-related migration uncertainty

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103133

Afees A. Salisu , Ahamuefula E. Ogbonna , Rangan Gupta , Elie Bouri

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引用次数: 0

Abstract

There is a lack of research explicitly connecting climate-related migration uncertainties to the volatility of agricultural commodities. Existing studies emphasize supply shocks while neglecting the effects of migration and uncertainties linked to climate-related migration. In this paper, we evaluate the forecasting ability of the newly developed climate-related migration uncertainty index (CMUI) and its two components, the climate uncertainty index (CUI) and the migration uncertainty index (MUI), for the return volatility of agricultural commodity prices in both the futures and spot markets. Employing a GARCH-MIDAS model, based on mixed data frequencies covering the period from 1977Q4 (with the earliest daily observation on October 3, 1977) to 2024Q1 (with the latest daily observation on March 29, 2024), we conduct both statistical and economic evaluations, including the Modified Diebold-Mariano test, Model Confidence Set procedure, and risk-adjusted performance metrics. The results demonstrate that integrating CUI, MUI, and CMUI into the predictive model of the return volatility of agricultural commodities significantly improves forecast accuracy relative to the conventional GARCH-MIDAS-RV benchmark. These findings suggest that climate and migration related uncertainty indices are both statistically significant and economically relevant, offering enhanced forecasting power and investment performance.

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预测农产品现货和期货价格波动：气候相关移民不确定性的作用

目前缺乏明确将气候相关移民不确定性与农产品波动联系起来的研究。现有的研究强调供给冲击，而忽视了移民的影响以及与气候相关的移民相关的不确定性。本文评估了新建立的气候相关迁移不确定性指数（CMUI）及其两个组成部分气候不确定性指数（CUI）和迁移不确定性指数（MUI）对农产品期货和现货市场价格回报波动的预测能力。采用GARCH-MIDAS模型，基于涵盖1977Q4（1977年10月3日最早每日观测）至2024Q1（2024年3月29日最新每日观测）的混合数据频率，我们进行了统计和经济评估，包括修正Diebold-Mariano检验、模型置信集程序和风险调整后的绩效指标。结果表明，与传统的GARCH-MIDAS-RV基准相比，将CUI、MUI和CMUI整合到农产品收益率波动率预测模型中显著提高了预测精度。这些发现表明，气候和移民相关的不确定性指数具有统计显著性和经济相关性，可以增强预测能力和投资绩效。

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

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance