{"title":"Harnessing Sunshine: A Dynamic Spillover Analysis of the Diversification Effects of China's Photovoltaic Weather Index","authors":"Yu Wei, Yue Shang, Qian Wang, Xiaodan Chen","doi":"10.1002/fut.70087","DOIUrl":"https://doi.org/10.1002/fut.70087","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the diversification effects of China's new photovoltaic weather index (PVWI) on commodity portfolios. Using a TVP-VAR spillover analysis, we find the PVWI is highly insulated from the commodity system, acting as a net shock receiver and confirming its diversification potential. We then construct novel “minimum-connectedness portfolios” (MCoP). Results show that portfolios incorporating the PVWI, particularly the MCoP, significantly enhance risk-adjusted returns and demonstrably outperform traditional minimum-variance benchmarks. This study validates the practical benefits of well-designed weather derivatives and the superiority of spillover-aware asset allocation frameworks.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 5","pages":"843-862"},"PeriodicalIF":2.3,"publicationDate":"2026-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147668398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums","authors":"Haibo Jiang","doi":"10.1002/fut.70083","DOIUrl":"https://doi.org/10.1002/fut.70083","url":null,"abstract":"<p>By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand-driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an insignificant net effect on the nominal bond risk premium. A two-sector New Keynesian model formalizes the dynamics among oil shocks, inflation, and bond yields, reconciling two distinct historical episodes: anchored inflation during the 2000s oil crisis and the surge in tandem with oil prices following the 2022 Russian invasion of Ukraine.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 5","pages":"779-798"},"PeriodicalIF":2.3,"publicationDate":"2026-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70083","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147668906","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}