Journal of Commodity Markets最新文献_第2页

How good are weather shocks for identifying energy elasticities? A LASSO-IV approach to European natural gas demand 天气冲击对于识别能量弹性有多好？欧洲天然气需求的LASSO-IV方法

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-08-05 DOI: 10.1016/j.jcomm.2025.100498

Merve Olmez Turan , Ben Gilbert , Tulay Flamand

{"title":"How good are weather shocks for identifying energy elasticities? A LASSO-IV approach to European natural gas demand","authors":"Merve Olmez Turan , Ben Gilbert , Tulay Flamand","doi":"10.1016/j.jcomm.2025.100498","DOIUrl":"10.1016/j.jcomm.2025.100498","url":null,"abstract":"<div><div>We estimate the price elasticity of residential natural gas demand for 23 European Union (EU) countries using monthly data from 2011 to 2022. While neighboring countries’ weather shocks can in theory act as a supply shifter to identify demand, it is unclear which subset of neighbors in practice should be used, if any. To address this issue, we compare four traditional instrumental variables (IV) models to several post-LASSO approaches: post-LASSO Ordinary Least Squares (OLS), post-LASSO IV, and two-stage post-LASSO IV. We compare these models on a country-by-country basis and for the full panel. We find that the third traditional IV model that we examined performs best in most cases for individual countries. In addition, we find that the first traditional IV model has the most reliable results at the panel-level. Our preferred estimates suggest that country-level price elasticities range from <span><math><mrow><mo>−</mo><mn>0</mn><mo>.</mo><mn>61</mn></mrow></math></span> to <span><math><mrow><mo>−</mo><mn>0</mn><mo>.</mo><mn>01</mn></mrow></math></span>, with a median of <span><math><mrow><mo>−</mo><mn>0</mn><mo>.</mo><mn>13</mn></mrow></math></span>, in line with estimates from the previous literature. We find that residential natural gas price elasticities vary widely across Europe, with Hungary, Germany, France, and Lithuania being the most elastic, and Estonia and Portugal the least. However, Gross Domestic Product (GDP) trends during the energy crisis do not align perfectly with elasticity patterns, highlighting the need for caution in linking demand elasticities directly to economic outcomes. Broader macroeconomic factors also play a significant role in shaping national responses to the crisis.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100498"},"PeriodicalIF":4.5,"publicationDate":"2025-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144860639","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

Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach 全球能源市场的日内波动传导：贝叶斯非参数方法

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-07-31 DOI: 10.1016/j.jcomm.2025.100496

Martina Danielova Zaharieva, Audronė Virbickaitė, André Portela Santos

{"title":"Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach","authors":"Martina Danielova Zaharieva, Audronė Virbickaitė, André Portela Santos","doi":"10.1016/j.jcomm.2025.100496","DOIUrl":"10.1016/j.jcomm.2025.100496","url":null,"abstract":"<div><div>We specify a volatility transmission model for international energy markets that divides a global trading day into three distinct trading zones, allowing us to investigate the <em>heat wave</em> and <em>meteor shower</em> hypotheses proposed in Engle et al. (1990). The resulting multivariate GARCH model is specified using a highly flexible semiparametric Bayesian framework with non-Gaussian innovations, designed to deal with asymmetry and heavy tails found in financial time series. The empirical results for the oil and natural gas futures markets suggest that volatility transmission is a combination of effects that are both related to volatility in the same region and volatility in the region immediately preceding it. Furthermore, accounting for the fat-tailed behavior not only dramatically improves the in-sample fit, but also helps to uncover additional cross-market (or cross-country) effects and gives us further insights into the exact channels through which energy shocks are transmitted throughout the world. Finally, accounting for both heat wave and meteor shower effects within a non-Gaussian framework leads to substantial improvements in the accuracy of Value-at-Risk estimates.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100496"},"PeriodicalIF":4.5,"publicationDate":"2025-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144766993","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

Twin commodity shocks: A multi-to-one CoVaR analysis of systemic risk spillovers from gold and crude oil to emerging market currencies 双重大宗商品冲击：黄金和原油对新兴市场货币系统性风险溢出的多对一CoVaR分析

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-07-30 DOI: 10.1016/j.jcomm.2025.100500

Mengjiao Wang , Jianxu Liu

{"title":"Twin commodity shocks: A multi-to-one CoVaR analysis of systemic risk spillovers from gold and crude oil to emerging market currencies","authors":"Mengjiao Wang , Jianxu Liu","doi":"10.1016/j.jcomm.2025.100500","DOIUrl":"10.1016/j.jcomm.2025.100500","url":null,"abstract":"<div><div>This study examines the systemic risk spillovers from gold and crude oil to six major emerging market currencies, with particular attention to the role of U.S. dollar (USD) strength in shaping these risk transmission mechanisms. We develop a multi-to-one Conditional Value-at-Risk (MCoVaR) analysis framework, extending the traditional CoVaR methodology by using time-varying canonical vine copulas to capture the dependence structures among gold, oil, and emerging market currencies. Our findings first reveal positive pairwise dependencies between gold, crude oil, and each currency, with heterogeneous dependence structures in how individual currencies relate to the two commodities. Crucially, the MCoVaR estimates confirm that emerging market currencies experience amplified risk spillovers during joint extreme shocks in gold and oil markets. Moreover, USD strength variation plays a crucial role in shaping commodity-to-currency systemic risk transmission by not only directly influencing the valuations of gold, oil, and emerging market currencies but also indirectly affecting the time-varying dependence between these assets. These findings highlight the importance of systemically accounting for joint commodity shocks in currency risk assessment, especially during periods of sustained USD strength with volatile commodity prices.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100500"},"PeriodicalIF":4.5,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144781093","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 the impact of tax systems on investment incentives in future marine minerals projects on the Norwegian Continental Shelf 评估税收制度对挪威大陆架未来海洋矿物项目投资激励的影响

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-07-19 DOI: 10.1016/j.jcomm.2025.100497

Verena Hagspiel , Ådne Jonsbråten , Maxime Lesage , Filip Fremo Minge , Farida Mustafina

{"title":"Assessing the impact of tax systems on investment incentives in future marine minerals projects on the Norwegian Continental Shelf","authors":"Verena Hagspiel , Ådne Jonsbråten , Maxime Lesage , Filip Fremo Minge , Farida Mustafina","doi":"10.1016/j.jcomm.2025.100497","DOIUrl":"10.1016/j.jcomm.2025.100497","url":null,"abstract":"<div><div>This study analyzes the impact of two principally different tax systems on potential investment decision-making in marine minerals projects, using the Norwegian Continental Shelf as a case study. The exploration phase of a project is modeled as a multistage decision process through which a company acquires information to reduce geological uncertainties about potential deposits. At different decision gates, the company decides whether it is optimal to continue exploration or abandon the deposits based on their expected economic viability. A dynamic valuation framework is used to evaluate the impact of potential tax systems on corporate decision-making concerning both the exploration of deposits and the project value resulting from the extraction of deposits. Specifically, a standard corporate tax system and variations of the Norwegian petroleum tax system are compared.</div><div>The findings suggest that a tax system similar to the Norwegian petroleum tax system, but with lower tax and refund rates, offers advantages for both companies and the states. Specifically, the petroleum tax system with a 30% total tax rate and a 25% refund rate yields the highest expected net present value for the company and reduces its exploration risks compared to the standard corporate tax system. While shifting parts of the exploration risks from the company to the state, the petroleum tax system with a 60% total tax rate and a 55% refund rate generates the highest net tax balance for the state. A trade-off tax system could be designed to share the risks inherent in mineral exploration and extraction, maintaining a balance between corporate and regulatory decision-makers by encouraging investment in the sector and ensuring sustainable economic benefits to the state.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100497"},"PeriodicalIF":4.5,"publicationDate":"2025-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144739734","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

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

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 , 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&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 , Saban Nazlioglu , Ahmet Koncak , 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

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