Journal of Commodity Markets最新文献_第10页

Oil–gas price relationships on three continents: Disruptions and equilibria 三大洲的油气价格关系:中断与平衡

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100347

Christoph Halser , Florentina Paraschiv , Marianna Russo

{"title":"Oil–gas price relationships on three continents: Disruptions and equilibria","authors":"Christoph Halser , Florentina Paraschiv , Marianna Russo","doi":"10.1016/j.jcomm.2023.100347","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100347","url":null,"abstract":"<div><p>In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan<span> between 2009 and 2021. The results suggest a stronger oil–gas link for all investigated markets after 2019, significantly impacted by fundamental supply and demand factors. However, the strength<span> of the equilibria link differs across markets due to different price formation processes under the impact of the COVID-19 pandemic and the Ukraine war. For Japanese LNG<span> prices, our results imply an enduring impact of oil-price indexation with a tight link to monthly crude prices. TTF and monthly oil prices enter a temporary equilibrium in times of high market volatility, whereby the long-term equilibrium dissipates. Despite the absence of oil indexation in the North American market, we find evidence of re-coupling of oil and gas prices given the demand shock of the COVID-19 pandemic. These findings are relevant to policy makers to assess market inefficiencies caused by the European gas crisis.</span></span></span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100347"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863230","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

Do spot market auction data help price discovery? 现货市场拍卖数据有助于价格发现吗？

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100335

Adrian Fernandez-Perez , Joëlle Miffre , Tilman Schoen , Ayesha Scott

引用次数: 0

The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models 高矩在预测中国石油期货波动中的作用:来自机器学习模型的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-08-25 DOI: 10.1016/j.jcomm.2023.100352

Hongwei Zhang , Xinyi Zhao , Wang Gao , Zibo Niu

{"title":"The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models","authors":"Hongwei Zhang , Xinyi Zhao , Wang Gao , Zibo Niu","doi":"10.1016/j.jcomm.2023.100352","DOIUrl":"10.1016/j.jcomm.2023.100352","url":null,"abstract":"<div><p><span>This paper expands the emerging literature on volatility forecasting for China's oil market by exploring the predictive ability<span><span> of higher-order moments (skewness, kurtosis, hyperskewness, and hyperkurtosis) based on high-frequency data. Our investigation is originally based on the heterogeneous autoregressive (HAR) framework, but considering the possible multicollinearity and nonlinearity, it is extended to various machine learning (ML) models and combination </span>forecasting models. The results reveal that higher-order moments, including the two highest moments, always significantly improve predictive performance for the COVID-19 crisis. We further examine the interpretability of ML models and each factor's contribution to the prediction, finding that odd and even moments contain short- and long-term prediction information, respectively. This paper also highlights the effectiveness of ML models for capturing trends in oil futures volatility with higher-order moments and the satisfactory performance of combination forecasting models. Finally, we investigate the predictability of asymmetric </span></span>risk patterns and<span> obtain identical results. Our study has important implications for financial risk management, asset pricing, and portfolio allocation.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100352"},"PeriodicalIF":4.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88749768","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

Estimation of value at risk for copper 估计铜的风险价值

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-08-18 DOI: 10.1016/j.jcomm.2023.100351

Konstantinos Gkillas , Christoforos Konstantatos , Spyros Papathanasiou , Mark Wohar

引用次数: 0

A Bayesian perspective on commodity style integration 商品风格整合的贝叶斯视角

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100328

Ana-Maria Fuertes , Nan Zhao

引用次数: 0

Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective 全球石油市场的时频依赖性和连通性：来自高阶矩视角的新证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100323

Jinxin Cui , Aktham Maghyereh

{"title":"Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2023.100323","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100323","url":null,"abstract":"<div><p>Investigating the dependence and connectedness among global oil markets is of great significance for cross-market investors and regulators. However, most of the existing studies are confined to lower-order moments and the time domain. This paper is the first to examine the time-frequency dependence and connectedness among global oil markets from the higher-order moment perspective by applying the wavelet coherence method and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach. The empirical results demonstrate that higher-order moment dependence among oil markets is weaker than return and volatility dependence. In general, Dubai, Minas, and Tapis oil exhibit relatively higher wavelet coherence with Daqing oil at all moments. The lead-lag relationships are heterogeneous during most sample intervals. The total return and volatility connectedness indices are higher than the skewness and kurtosis. The return connectedness mainly occurs in the short term (1–5 days) whereas the volatility, skewness, and kurtosis connectedness occur in the long run (22-Inf days). West Texas Intermediate oil dominates the return, volatility, and skewness connectedness network while Dubai oil dominates the kurtosis connectedness network. Furthermore, the dynamic total, net, and net-pairwise connectedness indices are all time-varying and event-dependent with the higher-order moment connectedness illustrating more volatile features. Several practical implications are provided for various market agents.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100323"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197071","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: 4

Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy 全球流动性和商品市场冲击对出口商品的发展中经济体的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100332

Gan-Ochir Doojav, Davaajargal Luvsannyam, Elbegjargal Enkh-Amgalan

引用次数: 0

The asymmetric impact of global economic policy uncertainty on international grain prices 全球经济政策不确定性对国际粮食价格的不对称影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100273

Shaobo Long , Jieyu Li , Tianyuan Luo

引用次数: 0

Information effects of monetary policy announcements on oil price 货币政策公告对油价的信息效应

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100268

Yang Yang , Jiqiang Zhang , Sanpan Chen

引用次数: 0

Realized higher-order moments spillovers between commodity and stock markets: Evidence from China 商品市场和股票市场之间已实现的高阶矩溢出：来自中国的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100275

Hongwei Zhang , Chen Jin , Elie Bouri , Wang Gao , Yahua Xu

{"title":"Realized higher-order moments spillovers between commodity and stock markets: Evidence from China","authors":"Hongwei Zhang , Chen Jin , Elie Bouri , Wang Gao , Yahua Xu","doi":"10.1016/j.jcomm.2022.100275","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100275","url":null,"abstract":"<div><p><span>We construct daily realized volatility, skewness, and kurtosis<span> using 5-min data of eight Chinese commodity futures and the Chinese stock market index from March 26, 2018 to October 22, 2020, then analyse the dynamic spillovers of realized moments among these markets. The results show that the spillover effects between commodity and stock markets intensify during shock periods such as ‘trade disputes between China and the United States’ and ‘COVID-19’. Volatility spillovers are relatively stronger than spillovers in skewness or spillovers in kurtosis; however, spillovers in higher-order moments seem to contain additional information. Shocks from the </span></span>silver<span><span> market influence realized moments of other markets. Soybean, corn, aluminium, and oil markets are affected by other markets. The contribution of wheat as a net transmitter to the system of spillovers between stock and commodity markets is only observed at higher-order realized moments. The results from OLS and </span>quantile regressions show that the total spillovers are generally affected by the US stock market, economic uncertainties, and the COVID-19 outbreak.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100275"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197080","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: 20