Journal of Commodity Markets最新文献

Carbon pricing and the commodity risk premium 碳定价与商品风险溢价

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-11-14 DOI: 10.1016/j.jcomm.2024.100447

Qiao Wang

引用次数: 0

Have the causal effects between equities, oil prices, and monetary policy changed over time? 股票、油价和货币政策之间的因果效应是否随着时间的推移而改变？

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-11-13 DOI: 10.1016/j.jcomm.2024.100446

Alexander Kurov , Eric Olson , Marketa Halova Wolfe

引用次数: 0

Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics 绿色债券、清洁能源市场和碳配额价格之间的关联性：时间和频率动态

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-11-08 DOI: 10.1016/j.jcomm.2024.100442

Ingrid Emilie Flessum Ringstad , Kyriaki Tselika

{"title":"Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics","authors":"Ingrid Emilie Flessum Ringstad , Kyriaki Tselika","doi":"10.1016/j.jcomm.2024.100442","DOIUrl":"10.1016/j.jcomm.2024.100442","url":null,"abstract":"<div><div>In this paper, we investigate the time and frequency dynamics of connectedness among green assets such as green bonds, clean energy markets, and carbon prices. Using daily price data, we explore return spillovers across these green financial markets by applying the novel framework on time and frequency dynamics proposed by Baruník and Krehlík (2018). This allows us to identify the direction of spillovers among our variables, and decompose the connectedness to differentiate between short-term and long-term return spillovers. Our results indicate that green bonds and carbon prices act as net receivers of shocks, but mainly in the short-term. We also observe a low level of connectedness among our clean energy markets across both low and high frequency bands, even during times of economic or political crisis. Additionally, there are periods in which connectedness between the clean energy assets is driven by the long-term. In periods of economic and political stability, carbon prices may also provide an interesting diversifying tool for short-term investors. Our results should be of interest for investors and portfolio managers who focus on green financial markets, by strengthening the notion that green financial markets can offer diversification opportunities, for both short-term and long-term investors. Policy makers could also benefit from our insights on conectedness in their work on short-term and long-term climate policies. This paper is the first to use this framework to investigate systematic risks within green financial markets.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100442"},"PeriodicalIF":3.7,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651764","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}

引用次数: 0

Commodity market downturn: Systemic risk and spillovers during left tail events 商品市场下滑：左尾事件中的系统风险和溢出效应

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-11-03 DOI: 10.1016/j.jcomm.2024.100445

Samet Gunay , Destan Kirimhan , Emrah Ismail Cevik

{"title":"Commodity market downturn: Systemic risk and spillovers during left tail events","authors":"Samet Gunay , Destan Kirimhan , Emrah Ismail Cevik","doi":"10.1016/j.jcomm.2024.100445","DOIUrl":"10.1016/j.jcomm.2024.100445","url":null,"abstract":"<div><div>We investigate systemic risk and spillovers in the commodity network during left-tail events using state-of-the-art methodologies: the Component Exponent Shortfall (CES), Quantile-Vector Autoregression (QVAR) and Causality-in-Risk. Our analysis focuses on five commodity groups: Energy (Crude Oil, Heating Oil, Natural Gas, Coal), Base Metals (Aluminum, Copper, Nickel, Zinc), Ferrous Metals (Iron, Steel), Precious Metals (Gold, Palladium, Platinum, Silver), and Others (Rubber). Across the models utilized, we consistently find that energy commodities and precious metals, along with copper as a standalone commodity, represent the most systemically risky group. Thus, portfolios incorporating these commodities are advised to implement more careful diversification to mitigate risks stemming from systemic factors. This may require additional attention to precious metals, as they are often considered safe-haven assets. Expediting the implementation of regulations that promote the replacement of fossil energy sources with green alternatives could be instrumental in managing systemic risk in the commodity market while also facilitating global sustainability. Finally, the results show that the impact of the Israeli-Palestinian conflict on both systemic risk and spillovers has been limited compared to the effects of COVID-19 and the Russia-Ukraine war.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100445"},"PeriodicalIF":3.7,"publicationDate":"2024-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651524","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