Journal of Commodity Markets最新文献

Supply and Demand shocks: the short-term and long-term drivers of oil price uncertainty 供给和需求冲击：油价不确定性的短期和长期驱动因素

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-07-11 DOI: 10.1016/j.jcomm.2025.100495

Theodora Bermpei , Athanasios Triantafyllou

引用次数: 0

Portfolio implications based on quantile connectedness among cryptocurrency, stock, energy, and safe-haven assets 基于加密货币、股票、能源和避险资产之间分位数连通性的投资组合影响

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-07-07 DOI: 10.1016/j.jcomm.2025.100494

Yulian Zhang , Shigeyuki Hamori

{"title":"Portfolio implications based on quantile connectedness among cryptocurrency, stock, energy, and safe-haven assets","authors":"Yulian Zhang , Shigeyuki Hamori","doi":"10.1016/j.jcomm.2025.100494","DOIUrl":"10.1016/j.jcomm.2025.100494","url":null,"abstract":"<div><div>We employ a quantile time-frequency connectedness model to investigate the interdependencies among four asset groups: cryptocurrencies (Bitcoin, Ethereum, and BNB), stocks (S&P 500, Euro Stoxx 50, FTSE 100, and Nikkei 225), safe-haven assets (gold, the US dollar, and treasury bills), and energy markets (oil, gas, coal, and electricity), using daily data from November 2017 to November 2024 (1625 observations). Our results reveal that, under normal market conditions, markets are more affected by their own shocks than by cross-market spillovers. This indicates that investors should pay closer attention to endogenous risks during stable periods. Moreover, we find that diversification across different asset classes is more effective under normal conditions, while investing within the same group may be more appropriate during bullish or bearish market phases. Market uncertainty also tends to rise as conditions become more extreme. This study is the first to confirm quantile-based connectedness both within and across asset classes in the time-frequency domain. Our findings contribute to a deeper understanding of market interactions and offer practical insights for investment decisions, portfolio management, and regulatory policy in an increasingly interconnected global financial environment.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100494"},"PeriodicalIF":3.7,"publicationDate":"2025-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144595509","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}

引用次数: 0

U.S. climate policy uncertainty shocks and the growth in renewable energy production 美国气候政策的不确定性冲击和可再生能源生产的增长

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-07-05 DOI: 10.1016/j.jcomm.2025.100493

James E. Payne , Saban Nazlioglu , Ahmet Koncak , Bradley T. Ewing

{"title":"U.S. climate policy uncertainty shocks and the growth in renewable energy production","authors":"James E. Payne , Saban Nazlioglu , Ahmet Koncak , Bradley T. Ewing","doi":"10.1016/j.jcomm.2025.100493","DOIUrl":"10.1016/j.jcomm.2025.100493","url":null,"abstract":"<div><div>Investment in renewable energy production has been subject to swings in the U.S. policy stance on climate change creating uncertainty. Determining how and to what extent the renewable energy sector responds to climate policy uncertainty is relevant to understanding the energy transition from fossil fuels to renewables. This study examines the relationship between the growth in renewable energy production and its sub-components and climate policy uncertainty while accounting for oil price uncertainty and the growth in oil prices, industrial production, and carbon emissions, respectively. Utilizing generalized impulse response analysis within a vector autoregressive model framework, we find that total renewable energy production responds negatively to shocks to climate policy uncertainty but exhibits only a small positive response to oil price uncertainty. Further examination of renewable energy production by its sub-components (i.e., hydropower, biomass, geothermal, wind, and solar) shows that the time path responses to uncertainty shocks differ by sub-component. The findings suggest that policies to facilitate an energy transition by treating renewables similarly may not have the desired effects and thus should be tailored to individual sub-components to achieve targeted goals for renewable energy production.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100493"},"PeriodicalIF":3.7,"publicationDate":"2025-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144571217","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}

引用次数: 0

Decomposed and partial connectedness between oil shocks and sovereign credit risk in emerging economies: Insights from the Russia-Ukraine war 新兴经济体中石油冲击与主权信用风险之间的分解和部分联系：来自俄乌战争的洞察

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-15 DOI: 10.1016/j.jcomm.2025.100492

Nader Naifar

{"title":"Decomposed and partial connectedness between oil shocks and sovereign credit risk in emerging economies: Insights from the Russia-Ukraine war","authors":"Nader Naifar","doi":"10.1016/j.jcomm.2025.100492","DOIUrl":"10.1016/j.jcomm.2025.100492","url":null,"abstract":"<div><div>This paper explores the decomposed and partial connectedness between oil shocks and sovereign credit risk, emphasizing the dynamics in emerging economies divided between oil-importing and exporting nations. Using data from June 28, 2013, to June 1, 2023, empirical findings indicate that oil demand and supply shocks have become net receivers during the Russo-Ukrainian war, absorbing spillovers from sovereign credit risks. Risk shocks emerge as the only consistent and intensifying net transmitters, indicating the growing role of geopolitical uncertainty in driving volatility. Mexico appears as a notable net transmitter. Brazil also plays a persistent role as a systemic transmitter, while Russia's diminishing influence and higher self-insulation reflect financial decoupling under sanctions. A decreased total connectedness during the conflict suggests a decoupling trend among countries. Our analysis demonstrates the predominance of external over internal connectedness, emphasizing the significant influence of global events. The results display distinct connectedness patterns between oil-importing and exporting countries, reflecting the varied effects of oil price volatility on sovereign credit risk, particularly during geopolitical instability.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100492"},"PeriodicalIF":3.7,"publicationDate":"2025-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144322920","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}

引用次数: 0

Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship 风险，不确定性，世界经济周期，以及美国股票和石油的关系

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-10 DOI: 10.1016/j.jcomm.2025.100491

André Varella Mollick

引用次数: 0

How financial markets respond to climate policy uncertainty: A dynamic resilience analysis 金融市场如何应对气候政策的不确定性：动态弹性分析

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-04 DOI: 10.1016/j.jcomm.2025.100490

Xiaoyang Yao, Sairidaer Maimaitijiang, Jianfeng Li, Wei Le

引用次数: 0

Performance of systemic stress in agricultural commodities and its implication for volatility prediction in SSA equities 农业大宗商品的系统性压力表现及其对SSA股票波动性预测的影响

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-05-25 DOI: 10.1016/j.jcomm.2025.100480

Qingying Zheng , Jintao Wu , Boqiang Lin

{"title":"Performance of systemic stress in agricultural commodities and its implication for volatility prediction in SSA equities","authors":"Qingying Zheng , Jintao Wu , Boqiang Lin","doi":"10.1016/j.jcomm.2025.100480","DOIUrl":"10.1016/j.jcomm.2025.100480","url":null,"abstract":"<div><div>Extensive research has underscored the linkage and risk exposure of Sub-Saharan Africa (SSA) equities to international agricultural commodities. However, the role of systemic agricultural commodity stress in predicting equity volatility has received less attention. We first utilize the Tail Event-driven NETwork (TENET) methodology to construct a Systemic Stress Index (SSI) for agricultural commodities to capture the extreme risks in these markets. We then develop a GARCH-MIDAS-SSI specification to examine the index's predictive capabilities and its relationship with SSA equities (Nigeria, Botswana, Uganda, Mauritius, Kenya, and Ghana). Our results show that the SSI significantly rises during global crises, and its upward trend correlates with increased volatility in SSA equities. More importantly, the SSI exhibits robust forecasting capabilities for volatility in SSA equity markets, both in-sample and out-of-sample. Given the deepening trend of commodity financialization and the frequent occurrence of global crises, these insights are pertinent for both investors and market regulators in their decision-making processes.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100480"},"PeriodicalIF":3.7,"publicationDate":"2025-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178566","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}

引用次数: 0

Geopolitical risk and energy market tail risk forecasting: An explainable machine learning approach 地缘政治风险和能源市场尾部风险预测：一个可解释的机器学习方法

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-05-14 DOI: 10.1016/j.jcomm.2025.100478

Mohammad Ashraful Ferdous Chowdhury , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Aviral Kumar Tiwari

引用次数: 0

Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization 原油和美元市场的交易时段和非交易时段波动性及其对投资组合优化的影响

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-05-10 DOI: 10.1016/j.jcomm.2025.100479

Yu-Sheng Lai

引用次数: 0

Assessing government expenditures multipliers under oil price swings 评估油价波动下的政府支出乘数

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-05-05 DOI: 10.1016/j.jcomm.2025.100477

El Mostafa Bentour

{"title":"Assessing government expenditures multipliers under oil price swings","authors":"El Mostafa Bentour","doi":"10.1016/j.jcomm.2025.100477","DOIUrl":"10.1016/j.jcomm.2025.100477","url":null,"abstract":"<div><div>This paper evaluates the impact of government expenditure on output under oil price swings using an SVAR model on a sample of 18 MENA countries. We found that, under an oil price decrease, expenditure multipliers are higher than under an oil price increase and could attain more than one in the short run while going beyond the value of two in the long run. Moreover, on average, spending multiples in oil-exporting countries are higher than those in oil-importing countries at times of decreasing oil prices, while the opposite is noticed at times of increasing oil prices. These results are in line with the recent literature on fiscal multipliers, being large in times of recessions while being weak in times of expansions. Accordingly, some policy recommendations arise from this study as follows.</div><div>- The study endorses the adoption of a countercyclical fiscal policy in oil-exporting countries where in times of decreasing oil prices, a surge in government expenditure is more beneficial to the economy, compared to times of high oil prices.</div><div>- Oil exporting countries should continue their ongoing effort of diversification away from hydrocarbon sectors to disentangle from implied exogenous shocks and the effects of oil price swings on the fiscal policy stance.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100477"},"PeriodicalIF":3.7,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143918318","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}

引用次数: 0