Journal of Commodity Markets最新文献

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

Extremal dependence in Australian electricity markets 对澳大利亚电力市场的极度依赖

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-05-02 DOI: 10.1016/j.jcomm.2025.100476

Lin Han , Ivor Cribben , Stefan Trück

{"title":"Extremal dependence in Australian electricity markets","authors":"Lin Han , Ivor Cribben , Stefan Trück","doi":"10.1016/j.jcomm.2025.100476","DOIUrl":"10.1016/j.jcomm.2025.100476","url":null,"abstract":"<div><div>Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the dependence between extreme spot price outcomes in the Australian National Electricity Market (NEM). We investigate extremal dependence both in a univariate and multivariate setting, applying the extremogram developed by <span><span>Davis and Mikosch (2009)</span></span> and <span><span>Davis et al., 2011</span></span>, <span><span>Davis et al., 2012</span></span>. We measure the persistence of extreme prices within individual regional markets and the transmission of extreme prices across different regions. With both 5-minute and 30-minute price data, we find that extreme prices are more persistent in the market with a higher share of intermittent renewable energy. We also find that the persistence of extreme prices is more prevalent in more concentrated markets. We also show significant extremal price dependence between different regions, which is typically stronger between physically interconnected markets. The dependence structure of extreme prices shows asymmetric and time-dependent patterns. Applying the extremograms, we further show the effectiveness of the Australian Energy Market Commission’s 2016 rebidding rule with respect to reducing the share of isolated price spikes that are often considered as an indication of strategic bidding. Our results provide important information for the hedging decisions of market participants and for policymakers who aim to reduce market volatility and extreme price outcomes through effective regulations that guide the trading behaviour of market participants as well as improved network interconnections.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100476"},"PeriodicalIF":3.7,"publicationDate":"2025-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144154361","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