Journal of Commodity Markets最新文献_第2页

When Chinese mania meets global frenzy: Commodity price bubbles 当中国狂热遇上全球狂热：商品价格泡沫

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-10-05 DOI: 10.1016/j.jcomm.2024.100437

John Hua Fan , Adrian Fernandez-Perez , Ivan Indriawan , Neda Todorova

引用次数: 0

Do oil market shocks affect financial distress? Evidence from firm-level global data 石油市场冲击会影响财务困境吗？来自公司层面全球数据的证据

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-09-29 DOI: 10.1016/j.jcomm.2024.100436

Mohammad Mahdi Mousavi , Giray Gozgor , Albert Acheampong

引用次数: 0

A comparative study of factor models for different periods of the electricity spot price market 不同时期电力现货价格市场因素模型的比较研究

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-09-20 DOI: 10.1016/j.jcomm.2024.100435

Christian Laudagé , Florian Aichinger , Sascha Desmettre

{"title":"A comparative study of factor models for different periods of the electricity spot price market","authors":"Christian Laudagé , Florian Aichinger , Sascha Desmettre","doi":"10.1016/j.jcomm.2024.100435","DOIUrl":"10.1016/j.jcomm.2024.100435","url":null,"abstract":"<div><p>Due to major shifts in the European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work, we study the performance of two different factor models for the electricity spot price in three different time periods. To this end, we consider three samples of EEX data for the Austrian base load electricity spot price, one from the pre-crisis from 2018 to 2021, the second from the time of the crisis from 2021 to 2023, and the whole data from 2018 to 2023. For each of these samples, we investigate the fit of a classical 3-factor model with a Gaussian base signal and one positive and one negative jump signal and compare it with a 4-factor model to assess the effect of adding a second Gaussian base signal to the model.</p><p>For the calibration of the models, we develop a tailor-made Markov Chain Monte Carlo method based on Gibbs sampling. To evaluate the model adequacy, we provide simulations of the spot price as well as a posterior predictive check for the 3- and the 4-factor model. We find that the 4-factor model outperforms the 3-factor model in times of non-crises. In times of crisis, the second Gaussian base signal does not lead to a better fit of the model. To the best of our knowledge, this is the first study regarding stochastic electricity spot price models in this new market environment. Hence, it serves as a solid base for future research.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100435"},"PeriodicalIF":3.7,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000540/pdfft?md5=263715891f55b2845be32b1642e61920&pid=1-s2.0-S2405851324000540-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142271999","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

Weathering market swings: Does climate risk matter for agricultural commodity price predictability? 抵御市场波动：气候风险对农产品价格的可预测性有影响吗？

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-08-30 DOI: 10.1016/j.jcomm.2024.100423

Yong Ma, Mingtao Zhou, Shuaibing Li

{"title":"Weathering market swings: Does climate risk matter for agricultural commodity price predictability?","authors":"Yong Ma, Mingtao Zhou, Shuaibing Li","doi":"10.1016/j.jcomm.2024.100423","DOIUrl":"10.1016/j.jcomm.2024.100423","url":null,"abstract":"<div><p>The challenges posed by climate change on the agricultural market have become a pressing concern. An accurate reading of future agricultural commodity prices can be an invaluable planning instrument for diverse interested parties. Here, we explore asset pricing implications of climate risk for the agricultural commodity market from January 2005 to December 2021. Through introducing a composite climate risk index based on the four individual climate risk measures of Faccini et al. (2023), our findings provide valuable insights into the time-series predictability of aggregate climate risk on future agricultural commodity returns, both in- and out-of-sample. This powerful predictability conveys substantial economic benefits to mean–variance investors and cannot be subsumed by conventional economic predictor variables. The evidence further suggests that physical risk, especially global warming, exhibits much stronger return predictability than transition risk. Moreover, we emphasize the pivotal role of climate risk in shaping supply dynamics and capturing investor attention, thereby serving as potential drivers of return predictability. Overall, these predictive insights hold important implications for risk management, investment strategies, and policy formulation in the agricultural commodity market.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100423"},"PeriodicalIF":3.7,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142129685","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

Oil jump tail risk as a driver of inflation dynamics 石油跃升尾部风险是通胀动态的驱动因素

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-08-29 DOI: 10.1016/j.jcomm.2024.100434

Laurent Ferrara , Aikaterini Karadimitropoulou , Athanasios Triantafyllou

引用次数: 0

Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility 用原油波动指数分散原油价格风险：波动率的作用

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-08-23 DOI: 10.1016/j.jcomm.2024.100425

Leon Li , Peter Miu

{"title":"Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility","authors":"Leon Li , Peter Miu","doi":"10.1016/j.jcomm.2024.100425","DOIUrl":"10.1016/j.jcomm.2024.100425","url":null,"abstract":"<div><p>To understand the diversification benefit of crude oil volatility, we examine the return-volatility relation in the crude oil market, given the interaction of the volatility (VOL) and the volatility-of-volatility (VOV). We develop a novel empirical model of the crude oil price and crude oil volatility index (OVX) returns incorporating both time-varying and state-dependent variances and correlations, thus allowing us to identify distinct market regimes of VOL and VOV. We find that the behavior of the return-volatility relation is contingent on the prevailing VOV regimes. Specifically, in a low (high) VOV regime, the relation becomes less (more) negative as VOL increases. These empirical results therefore imply that the diversification benefit of crude oil volatility is far from uniform across the different market states. Finally, using our proposed empirical model, we demonstrate the economic significance of recognizing both the time-varying and state-dependent variances/correlations in portfolio risk forecasting and construction.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100425"},"PeriodicalIF":3.7,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000448/pdfft?md5=0fd7e8f45700b2753a2bc06abc6f3b1f&pid=1-s2.0-S2405851324000448-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098459","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

Seasonality patterns in LNG shipping spot and time charter freight rates 液化天然气航运即期和定期包船运费的季节性模式

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-08-10 DOI: 10.1016/j.jcomm.2024.100424

Dionysios Polemis, Christos Bentsos

引用次数: 0

Did grain futures prices overreact to the Russia–Ukraine war due to herding? 谷物期货价格对俄乌战争的过度反应是否源于羊群效应？

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-08-06 DOI: 10.1016/j.jcomm.2024.100422

Colin A. Carter , Sandro Steinbach

引用次数: 0

Boring finance. Petroleum exploration and firm debt: Evidence from Norway 石油勘探钻井融资与公司债务：挪威的证据

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-07-25 DOI: 10.1016/j.jcomm.2024.100421

Johannes Mauritzen

{"title":"Boring finance. Petroleum exploration and firm debt: Evidence from Norway","authors":"Johannes Mauritzen","doi":"10.1016/j.jcomm.2024.100421","DOIUrl":"10.1016/j.jcomm.2024.100421","url":null,"abstract":"<div><p>The role of financing in petroleum exploration has gained prominence due to sustainability commitments by major financing institutions. Yet the relationship between exploration and financing has been little explored and poorly understood. I create a novel data set combining detailed exploration data with financial register data on all public and private firms operating on the Norwegian Continental Shelf to analyze the relationship between debt and drilling decisions. I make use of both an over-dispersed Poisson regression model estimated by maximum likelihood and a Bayesian hierarchical negative binomial regression model where key elements of the industry microstructure are specified and explicitly modeled. I find evidence that short-term debt is associated with lower rates of drilling and more modest evidence that long-term debt has a slightly positive relationship with exploratory drilling. This evidence is consistent with a financial constraints theory of oil drilling, and supports the argument that exploration drilling is dependent on a firms access to financing.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100421"},"PeriodicalIF":3.7,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000400/pdfft?md5=29d0c96789b36b778c1a715a6442ff8f&pid=1-s2.0-S2405851324000400-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850984","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

Nash equilibria in greenhouse gas offset credit markets 温室气体抵消信贷市场的纳什均衡

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-06-22 DOI: 10.1016/j.jcomm.2024.100419

Liam Welsh , Sebastian Jaimungal

引用次数: 0