Journal of Commodity Markets最新文献

筛选
英文 中文
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
{"title":"Supply and Demand shocks: the short-term and long-term drivers of oil price uncertainty","authors":"Theodora Bermpei ,&nbsp;Athanasios Triantafyllou","doi":"10.1016/j.jcomm.2025.100495","DOIUrl":"10.1016/j.jcomm.2025.100495","url":null,"abstract":"<div><div>We empirically show the role of supply and demand shocks as drivers of short and long-run price uncertainty in the crude oil market. We first define oil price uncertainty as the purely unforecastable component of oil price fluctuations and show that uncertainty of the short-run oil price fluctuations is driven by oil supply shocks, while the uncertainty for medium and long-run forecast horizons is mainly caused by aggregate demand. While our findings on the impact of oil supply disruptions on oil price uncertainty are in line with the implications of the theory of storage, we do not find similar results for the medium and the long, whereby the global demand shocks are found to be the main driver for the increasing oil price uncertainty. Interestingly, we show that the recessionary effect of short and medium-horizon uncertainty shocks, we find that long-run oil price uncertainty shocks lead to expansions in global economic activity.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100495"},"PeriodicalIF":3.7,"publicationDate":"2025-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144631106","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
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 ,&nbsp;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&amp;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 ,&nbsp;Saban Nazlioglu ,&nbsp;Ahmet Koncak ,&nbsp;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
{"title":"Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship","authors":"André Varella Mollick","doi":"10.1016/j.jcomm.2025.100491","DOIUrl":"10.1016/j.jcomm.2025.100491","url":null,"abstract":"<div><div>We examine in this paper the transmission of geopolitical risks (GPR), VIX, economic policy uncertainty (EPU), and “macro uncertainty” shocks to real WTI oil and U.S. stock returns (S&amp;P 500). Structural vector autoregressions (SVAR) are applied to monthly data from 1990:1 to 2023:6 with identification based on long-run restrictions of impulse responses from risk/uncertainty measures to world industrial production. The main results are: First, oil prices respond positively to shocks in GPR and macro uncertainty in the short-run, but not to shocks in VIX and EPU. Second, stock returns respond negatively and for longer to <em>both</em> GPR and VIX shocks. Third, S&amp;P 500 moves up with positive real WTI shocks for between 5 and 8 months, supporting favorable stock market reaction to oil fundamentals. By verifying shock contributions to real asset prices, the pair (GPR, VIX) outperforms other combinations of risk/uncertainty. Two-regime Markov-Switching VARs present satisfactory regime classification measures.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100491"},"PeriodicalIF":3.7,"publicationDate":"2025-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144263502","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
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
{"title":"How financial markets respond to climate policy uncertainty: A dynamic resilience analysis","authors":"Xiaoyang Yao,&nbsp;Sairidaer Maimaitijiang,&nbsp;Jianfeng Li,&nbsp;Wei Le","doi":"10.1016/j.jcomm.2025.100490","DOIUrl":"10.1016/j.jcomm.2025.100490","url":null,"abstract":"<div><div>In the context of the global transition to a sustainable development, focusing on the impact of climate policy uncertainty (CPU) on financial markets is important to prevent green swan events. This paper analyzes the resilience of major stock and commodities markets to CPU shocks from the perspectives of absorption intensity and duration, which imply the ability to withdraw the shocks and recover from them, respectively. Based on these two aspects, we construct a resilience index and explore the impacts of macroeconomic conditions on resilience. We find that most markets exhibit negative responses to CPU shocks, except for natural gas and precious metals. Most markets’ resilience to CPU has intensified, whereas, traditional energy sectors and the agricultural commodities market still shown the most vulnerability to CPU shocks. Compared to negative causality, the macro-economic conditions show higher level of positive causality to resilience. An increase in macro-economic uncertainty can exacerbate the deterioration of market resilience.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100490"},"PeriodicalIF":3.7,"publicationDate":"2025-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144221272","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
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 ,&nbsp;Jintao Wu ,&nbsp;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
{"title":"Geopolitical risk and energy market tail risk forecasting: An explainable machine learning approach","authors":"Mohammad Ashraful Ferdous Chowdhury ,&nbsp;Mohammad Abdullah ,&nbsp;Emmanuel Joel Aikins Abakah ,&nbsp;Aviral Kumar Tiwari","doi":"10.1016/j.jcomm.2025.100478","DOIUrl":"10.1016/j.jcomm.2025.100478","url":null,"abstract":"<div><div>This study develops a forecasting model for energy market tail risk, with a focus on the predictive role of geopolitical risk factors. Using daily energy commodities data spanning from 2000 to 2024, this study evaluates the performance of machine learning models. Results indicate that the Light Gradient Boosting Machine (LGBM) consistently outperforms other models based on key metrics. Robustness tests across different tail risk levels affirm LGBM as the optimal choice for energy market tail risk forecasting. Furthermore, model interpretability reveals that geopolitical risk indicators contribute significantly, with a 19.15 % impact on the forecasting model. Notably, the foreign exchange market, influences predictions by 15 %, while the monetary policy, contributes 12.19 %. Our findings have significant implications for regulators, industry practitioners, and investors seeking optimal tail risk forecasting during geopolitical conflicts.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100478"},"PeriodicalIF":3.7,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195886","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
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
{"title":"Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization","authors":"Yu-Sheng Lai","doi":"10.1016/j.jcomm.2025.100479","DOIUrl":"10.1016/j.jcomm.2025.100479","url":null,"abstract":"<div><div>The covariance between crude oil prices and U.S. dollar exchange rates is crucial for energy investors, and stock prices differ between trading and nontrading hours. Thus, the present study uses a two-component generalized autoregressive conditional heteroskedasticity (GARCH) model to analyze whole-day returns. Our analysis of data from 2007 to 2021 reveals that trading-hour and nontrading-hour returns contain crucial information for modeling whole-day covariance. Additionally, out-of-sample portfolio comparisons indicate that a two-component model is more effective than simpler models for portfolio optimization, resulting in substantial basis point fees when switching from the static to the two-component model. Crucially, the economic value generated by the two-component model is not offset by reasonable transaction costs; more risk-averse investors can generate higher benefits.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100479"},"PeriodicalIF":3.7,"publicationDate":"2025-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143947296","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
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
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信