Journal of Commodity Markets最新文献

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

Predicting commodity returns: Time series vs. cross sectional prediction models 预测商品收益：时间序列与横断面预测模型

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-04-07 DOI: 10.1016/j.jcomm.2025.100475

Timotheos Angelidis , Athanasios Sakkas , Nikolaos Tessaromatis

引用次数: 0

The effect of oil prices on the US shipping stock prices: The mediating role of freight rates and economic indicators 油价对美国航运股票价格的影响：运价和经济指标的中介作用

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-04-03 DOI: 10.1016/j.jcomm.2025.100474

Andreas Andrikopoulos , Anna Merika , Nikolaos Stoupos

引用次数: 0

Commodity correlation risk 商品相关风险

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-27 DOI: 10.1016/j.jcomm.2025.100473

Joseph P. Byrne , Ryuta Sakemoto

引用次数: 0

Impact of supply chain pressure on traditional energy and metal markets: A Wavelet-based Quantile-on-Quantile perspective 供应链压力对传统能源和金属市场的影响：基于小波的分位数对分位数视角

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-17 DOI: 10.1016/j.jcomm.2025.100472

Ahmed H. Elsayed , Giray Gozgor , Rabeh Khalfaoui , Salma Tarchella

引用次数: 0

Financial investors and cross-commodity markets integration 金融投资者与跨商品市场一体化

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-15 DOI: 10.1016/j.jcomm.2025.100461

Mohammad Isleimeyyeh

引用次数: 0

The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries 中游放大器：中国锂供应链从采矿到电池的风险溢出效应

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-06 DOI: 10.1016/j.jcomm.2025.100471

Lanyong Yang , Yongguang Zhu , Junhui Li , Shiquan Dou , Gang Liu , Deyi Xu

{"title":"The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries","authors":"Lanyong Yang , Yongguang Zhu , Junhui Li , Shiquan Dou , Gang Liu , Deyi Xu","doi":"10.1016/j.jcomm.2025.100471","DOIUrl":"10.1016/j.jcomm.2025.100471","url":null,"abstract":"<div><div>The global energy transition has significantly increased the demand for lithium resources, raising market concerns about the stability of the global lithium supply chain. Understanding the relationships among different commodities within this supply chain is crucial for managing associated risks. In this study, we apply a time-varying parameter vector autoregression model to investigate the spillover effects and dynamic dependency of price volatility across the lithium supply chain. Our results reveal a high degree of systemic risk among lithium supply chains. Specifically, the risk spillover from the midstream segment to the upstream segment is the strongest and increasing, while the risk spillover to the downstream segment is the weakest and showing a downward trend. Additionally, the midstream serves as the primary net transmitter of price shocks, whereas the upstream and downstream segments more often act as net receivers. We identify two main pathways for the spillover of price shocks: one from the midstream to the upstream and then to the downstream, and another directly from the midstream to the downstream. These findings are important for mitigating the accumulation of risks within the lithium supply chain.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100471"},"PeriodicalIF":3.7,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684302","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

Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis 考察气候风险、化石燃料、可再生能源和碳市场之间的感知溢出效应：高阶矩和分位数分析

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-06 DOI: 10.1016/j.jcomm.2025.100470

Jinxin Cui , Aktham Maghyereh

{"title":"Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2025.100470","DOIUrl":"10.1016/j.jcomm.2025.100470","url":null,"abstract":"<div><div>The complex risks of global climate change and the transition to a sustainable economy have increasingly become central to research and policy debates. Climate risk perceptions influence fossil fuel, renewable energy, and carbon markets through both investment behavior and regulatory policy channels. Understanding the spillovers between climate risk perceptions and commodity markets has profound implications for sustainable investments and risk management strategies. This paper extends the existing literature by examining higher-order moment risk spillovers among perceptions of climate physical risks (CPR) and transition risks (CTR), fossil fuel, renewable energy, and carbon markets across different quantiles. Furthermore, this paper also proposes an analytical framework that integrates ex-post moment measures with an innovative QVAR extended joint connectedness approach. Our empirical analysis reveals that the connectedness outcomes are contingent upon moment orders and specific quantile levels. Notably, total spillovers are markedly higher at the extreme quantiles (especially at the 0.95 quantile) compared to the median quantile. Importantly, CPRI and CTRI serve as net transmitters of spillovers at the 0.05 and 0.95 quantiles but shift to being net recipients under normal market conditions. The directional net spillovers transmitted from climate risk perceptions to energy and carbon markets are more pronounced and consistent at the extreme higher and lower quantiles. Finally, we find that dynamic total spillovers of skewness and kurtosis at extreme quantiles are more volatile than at the median, with significant sensitivity to major events such as the COVID-19 pandemic, the Russia-Ukraine war, the Israel-Hamas war, extreme climate disasters, and the United Nations Climate Change Conferences.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100470"},"PeriodicalIF":3.7,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143637289","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

The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets 跨资产关系的短期和长期周期性变化：金融和“金融化”资产的混合频率证据

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-02-28 DOI: 10.1016/j.jcomm.2025.100462

Menelaos Karanasos , Stavroula Yfanti , Jiaying Wu

{"title":"The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets","authors":"Menelaos Karanasos , Stavroula Yfanti , Jiaying Wu","doi":"10.1016/j.jcomm.2025.100462","DOIUrl":"10.1016/j.jcomm.2025.100462","url":null,"abstract":"<div><div>We study the dynamic interdependence between stocks, a risky and financial ‘by definition’ asset class, and the ‘financialised’ assets from the real estate and commodity markets. We first introduce a new multivariate corrected Dynamic Conditional Correlations Mixed-Data Sampling (cDCC-MIDAS) model through which we analyse short- and long-run time-varying correlation dynamics among stocks, real estate, and five commodity types with direct implications for risk management and portfolio optimisation. The correlation analysis identifies short- and long-run hedging properties and interdependence types and concludes on strong countercyclical cross-asset interlinkages, highly dependent on the state of the economy in most cases (contagion effects) and weak procyclical connectedness for certain safe-haven assets (flight-to-quality). We further investigate the macro-relevance and crisis-vulnerability of the correlations’ evolution by unveiling the macro-determinants of asset co-movements. The economic environment plays a key role as a contagion or flight-to-quality transmitter, outweighing the effects of economic linkages among assets, while the uncertainty channel intensifies the macro impact on the cross-asset nexus.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100462"},"PeriodicalIF":3.7,"publicationDate":"2025-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529697","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