Journal of Commodity Markets最新文献

Oil price volatility and corporate debt choice: Evidence from China 油价波动与企业债务选择：来自中国的证据

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-26 DOI: 10.1016/j.jcomm.2025.100517

Yan Jiang , Tian Gan , Xiaokun Wei , Honghui Zou

引用次数: 0

Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis 原油、绿色金融和有色金属市场的互联性和时频溢出效应：一个高矩分析

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-25 DOI: 10.1016/j.jcomm.2025.100516

Hongli Niu, Yiming Ma

{"title":"Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis","authors":"Hongli Niu, Yiming Ma","doi":"10.1016/j.jcomm.2025.100516","DOIUrl":"10.1016/j.jcomm.2025.100516","url":null,"abstract":"<div><div>This paper investigates the spillover effects of high moments, including volatility, skewness, and kurtosis, in the crude oil, green finance and non-ferrous metal markets in the time-frequency domain. We employ spillover methods by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018), together with the GARCHSK higher-moment model, to analyze the interconnectedness among these markets. Our study reveals several key findings: Firstly, spillover effects diminish as higher-order moments are considered, with significant spillovers concentrated at lower frequencies. Secondly, spillovers exhibit time-varying characteristics, with heightened intensity during turbulent period. Thirdly, the net spillover roles of individual markets vary by frequency and moment type, indicating asymmetry in spillover effects. For example, lead and nickel act as primary net transmitters, except for volatility spillovers over short- and medium-term periods, while ESG market serves as a net transmitter, excluding skewness spillovers at lower frequencies. Lastly, constructing portfolios that include green financial assets or oil assets alongside non-ferrous metal assets can effectively reduce portfolio risk. This work offers valuable insights for investors aiming to build balanced portfolios and for regulators designing effective risk management strategies.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100516"},"PeriodicalIF":4.5,"publicationDate":"2025-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145220835","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 other side of the coin: Speculation in bearish natural gas markets 硬币的另一面：在看跌的天然气市场进行投机

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-25 DOI: 10.1016/j.jcomm.2025.100514

Chanaka N. Ganepola , Alireza Zarei , Uchenna Tony-Okeke

引用次数: 0

Hedging shipping freight rates using conditional Value-at-Risk and Buffered Probability of Exceedance 使用条件风险价值和缓冲超出概率对冲航运运价

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-23 DOI: 10.1016/j.jcomm.2025.100515

Xiaolin Sun , Amir H. Alizadeh , Panos K. Pouliasis

{"title":"Hedging shipping freight rates using conditional Value-at-Risk and Buffered Probability of Exceedance","authors":"Xiaolin Sun , Amir H. Alizadeh , Panos K. Pouliasis","doi":"10.1016/j.jcomm.2025.100515","DOIUrl":"10.1016/j.jcomm.2025.100515","url":null,"abstract":"<div><div>This paper investigates the performance of the minimum Conditional Value-at-Risk (CVaR) hedging technique in the dry bulk shipping freight market, where extreme volatility and asymmetric return distributions often limit the effectiveness of traditional minimum variance approaches. The CVaR-based framework is used to minimize the downside tail risk in both static and dynamic hedging settings using a dataset of Forward Freight Agreements (FFAs) for Capesize, Panamax and Supramax vessels over the period of January 2007 to December 2022. Our results suggest that the effectiveness of alternative hedging strategies is sensitive to the distributional shape of the underlying returns, underscoring the suitability of CVaR-based strategies under heavy-tailed and skewed returns. Furthermore, we introduce a probabilistic optimization framework that minimizes the Buffered Probability of Exceedance (bPOE), subject to a pre-specified CVaR constraint. This dual-risk formulation yields an efficient frontier, i.e., a set of optimal solutions between risk and return, that quantifies the trade-off between the likelihood and magnitude of extreme losses, ultimately enhancing hedging performance and offering insights into tail risk management.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100515"},"PeriodicalIF":4.5,"publicationDate":"2025-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145220834","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

Testing the efficiency of oil price forecast revisions in times of COVID-19 and the Russia–Ukraine conflict 在2019冠状病毒病和俄罗斯-乌克兰冲突期间测试油价预测修正的效率

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-17 DOI: 10.1016/j.jcomm.2025.100513

Ana María Iregui , Héctor M. Núñez , Jesús Otero

{"title":"Testing the efficiency of oil price forecast revisions in times of COVID-19 and the Russia–Ukraine conflict","authors":"Ana María Iregui , Héctor M. Núñez , Jesús Otero","doi":"10.1016/j.jcomm.2025.100513","DOIUrl":"10.1016/j.jcomm.2025.100513","url":null,"abstract":"<div><div>We investigate weak- and strong-form efficiency in fixed-event forecast revisions for Brent and WTI prices using proprietary microdata from Energy & Metals Consensus Forecasts™ by Consensus Economics®. Our findings indicate forecasters mostly revise independently of past revisions, suggesting weak efficiency. Contributing to the strong-form efficiency literature, we compile data on 75 publicly available variables, which capture COVID-19, the Russia–Ukraine conflict, macroeconomic, financial, and oil market indicators. To ensure the information available to forecasters matched what was realistic at the time of their predictions, we lagged the variables to account for publication delays. Additionally, we added another lag to each variable, doubling the information set from 75 to 150 variables. This constitutes a significant effort in comprehending the information accessible to crude oil forecasters. Employing innovative multiple testing and penalised regression methods to address variable selection in a data-rich environment, we find that, conditional on passing weak efficiency, support for strong-form efficiency is limited. Notably, analysts incorporate past variable values, including COVID-19 and Russia–Ukraine conflict metrics, in their revisions. Our econometric modelling sheds light on how analysts’ decision-making adapt to changing market conditions, sociopolitical developments, and critical information.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100513"},"PeriodicalIF":4.5,"publicationDate":"2025-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145118395","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

Energy price uncertainty and sectoral tail risk: Evidence from quantile-on-quantile connectedness 能源价格不确定性和行业尾部风险：来自分位数间连通性的证据

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-09 DOI: 10.1016/j.jcomm.2025.100512

Boqiang Lin , Tianxu Lan

{"title":"Energy price uncertainty and sectoral tail risk: Evidence from quantile-on-quantile connectedness","authors":"Boqiang Lin , Tianxu Lan","doi":"10.1016/j.jcomm.2025.100512","DOIUrl":"10.1016/j.jcomm.2025.100512","url":null,"abstract":"<div><div>As the Chinese market increasingly becomes dependent on uncertainties in coal and oil prices, this paper examines the implications for financial markets and the transmission of tail risk across various industries. Employing a generalized quantile connectedness network model, we analyze the impact of coal price uncertainty (CPU) and international oil price uncertainty (OPU) on the volatility of Chinese sectoral stock markets during the period from 2016 to 2025. The study yields the following key conclusions: (1) In the context of “directly related” tail states, systemic risk spillover is most pronounced; (2) The net risk spillover from CPU and OPU primarily occurs under conditions of “high uncertainty + high market pressure,” demonstrating a significant complementary mechanism among the energy market, financial market, and industrial sector; (3) In periods of heightened volatility, CPU and OPU emerge as critical nodes within a highly interconnected network; (4) When faced with supply-side external shocks, the risk spillover effects associated with energy price uncertainty are notably amplified. Based on these findings, this paper proposes targeted policy recommendations.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100512"},"PeriodicalIF":4.5,"publicationDate":"2025-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145060522","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

Block connectedness between the EU-ETS and corporate returns: Evidence from high- and low-emission firms 欧盟排放交易体系与企业回报之间的关联：来自高排放和低排放企业的证据

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-03 DOI: 10.1016/j.jcomm.2025.100511

Susana Álvarez-Diez , J. Samuel Baixauli-Soler , Gabriel Lozano-Reina , Diego Rodríguez-Linares Rey

{"title":"Block connectedness between the EU-ETS and corporate returns: Evidence from high- and low-emission firms","authors":"Susana Álvarez-Diez , J. Samuel Baixauli-Soler , Gabriel Lozano-Reina , Diego Rodríguez-Linares Rey","doi":"10.1016/j.jcomm.2025.100511","DOIUrl":"10.1016/j.jcomm.2025.100511","url":null,"abstract":"<div><div>This study analyzes volatility transmission between the EU-ETS –used here as a proxy for carbon price dynamics– and the stock returns of European firms with varying emission levels during the third and fourth phases of the EU-ETS (from January 01, 2013 to April 30, 2025), applying a connectedness framework that integrates time-frequency decomposition and block-level analysis. The empirical evidence confirms that carbon market volatility significantly affects corporate financial dynamics, especially in the short term and particularly for high-emission firms. These results validate the three hypotheses posed: (i) there is statistically significant volatility connectedness between carbon and stock markets; (ii) short-term spillovers dominate; and (iii) high-emission firms are more exposed to volatility transmission than their low-emission counterparts. These findings are robust across two different classification criteria and highlight the relevance of carbon pricing not only as an environmental policy tool but also as a financial market signal.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100511"},"PeriodicalIF":4.5,"publicationDate":"2025-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145105968","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

Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach 全球货币供应与能源和非能源商品价格：MS-TV-VAR方法

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-08-22 DOI: 10.1016/j.jcomm.2025.100502

Stefano Grassi , Francesco Ravazzolo , Joaquin Vespignani , Giorgio Vocalelli

引用次数: 0

Smoothing quantile regression averaging: A new approach to probabilistic forecasting of electricity prices 平滑分位数回归平均：电价概率预测的新方法

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-08-14 DOI: 10.1016/j.jcomm.2025.100501

Bartosz Uniejewski

引用次数: 0

Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024 对冲粮食价格风险。保持简单！粮食市场的计量经济学证据，1982-2024