Journal of Commodity Markets最新文献_第2页

From Paris to Pandemic: How climate risk and policy uncertainty shapes fossil and clean Energy commodities 从巴黎到大流行：气候风险和政策不确定性如何影响化石和清洁能源商品

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2026-03-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jcomm.2026.100543

Aikaterini Karadimitropoulou , Pavlos Koulmas , Panayotis G. Michaelides , Athanasios Triantafyllou

{"title":"From Paris to Pandemic: How climate risk and policy uncertainty shapes fossil and clean Energy commodities","authors":"Aikaterini Karadimitropoulou , Pavlos Koulmas , Panayotis G. Michaelides , Athanasios Triantafyllou","doi":"10.1016/j.jcomm.2026.100543","DOIUrl":"10.1016/j.jcomm.2026.100543","url":null,"abstract":"<div><div>How do climate-policy uncertainty and climate shocks affect systemic risk within clean and fossil-fuel energy markets? Could more advanced connectedness models help reduce this risk? This study investigates these concerns through the dynamic interconnections between climate risk and the leading energy commodities: natural gas, crude oil, and clean energy. Employing innovative text-based climate uncertainty indices capturing natural disasters, global warming, international summits, and U.S. climate policy, we apply the frequency-Quantile VAR model to unveil the asymmetric spillovers across time horizons and return quantiles. Our results show that events like the U.S. withdrawal from the Paris Agreement and the 2024 U.S. presidential election, significantly enhance interconnections among both renewable and conventional fossil-fuel energy markets. We also find that climate-policy uncertainty stemming from U.S. climate policy and international summits, consistently transmits risk in the high quantiles, driving both short-term volatility and long-term structural repricing in the energy commodity market. Our findings are useful guidelines for traders, portfolio managers, and policymakers aiming to hedge against tail risks and adapt to a decarbonizing global economy.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"41 ","pages":"Article 100543"},"PeriodicalIF":4.5,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147394512","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

The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems 公众情绪对系统风险的影响：来自商品和股票市场系统的证据

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2026-03-01 Epub Date: 2025-12-02 DOI: 10.1016/j.jcomm.2025.100538

Jingjing Yan, Kun Wang, Pan Ma

{"title":"The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems","authors":"Jingjing Yan, Kun Wang, Pan Ma","doi":"10.1016/j.jcomm.2025.100538","DOIUrl":"10.1016/j.jcomm.2025.100538","url":null,"abstract":"<div><div>Public climate sentiment plays a pivotal role in market systemic risk. This paper explores the impact of public climate sentiment on the systemic risk of the agricultural, energy, metal, and stock market systems. To achieve this goal, we develop an integrated WDTI-QVAR model that combines the weighted turbulence (WDTI) model and the quantile vector autoregressive (QVAR) spillover model to explore spillover effects and dynamic transmission mechanisms across varying risk conditions. The results show that under normal and high-risk conditions, public climate sentiment generally acts as a net risk receiver, whereas under extremely low-risk conditions, it shifts to a net risk transmitter. Public climate sentiment has asymmetric effects on the market system, particularly under extreme market conditions, with the agricultural system being the most sensitive. In addition, climate policy uncertainty plays a significant moderating role in the spillover effects among public climate sentiment and market system risk, especially under high-volatility conditions. By combining methodological innovation with practical insight, this study contributes to both systemic risk modeling and climate-finance policy design, offering an integrated framework for understanding how climate sentiment, conditioned by policy uncertainty, shapes systemic risk transmission across markets.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"41 ","pages":"Article 100538"},"PeriodicalIF":4.5,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145692573","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

Testing the efficiency of oil price forecast revisions in times of COVID-19 and the Russia–Ukraine conflict 在2019冠状病毒病和俄罗斯-乌克兰冲突期间测试油价预测修正的效率

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-09-17 DOI: 10.1016/j.jcomm.2025.100513

Ana María Iregui , Héctor M. Núñez , Jesús Otero

{"title":"Testing the efficiency of oil price forecast revisions in times of COVID-19 and the Russia–Ukraine conflict","authors":"Ana María Iregui , Héctor M. Núñez , Jesús Otero","doi":"10.1016/j.jcomm.2025.100513","DOIUrl":"10.1016/j.jcomm.2025.100513","url":null,"abstract":"<div><div>We investigate weak- and strong-form efficiency in fixed-event forecast revisions for Brent and WTI prices using proprietary microdata from Energy & Metals Consensus Forecasts™ by Consensus Economics®. Our findings indicate forecasters mostly revise independently of past revisions, suggesting weak efficiency. Contributing to the strong-form efficiency literature, we compile data on 75 publicly available variables, which capture COVID-19, the Russia–Ukraine conflict, macroeconomic, financial, and oil market indicators. To ensure the information available to forecasters matched what was realistic at the time of their predictions, we lagged the variables to account for publication delays. Additionally, we added another lag to each variable, doubling the information set from 75 to 150 variables. This constitutes a significant effort in comprehending the information accessible to crude oil forecasters. Employing innovative multiple testing and penalised regression methods to address variable selection in a data-rich environment, we find that, conditional on passing weak efficiency, support for strong-form efficiency is limited. Notably, analysts incorporate past variable values, including COVID-19 and Russia–Ukraine conflict metrics, in their revisions. Our econometric modelling sheds light on how analysts’ decision-making adapt to changing market conditions, sociopolitical developments, and critical information.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100513"},"PeriodicalIF":4.5,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145118395","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

Media coverage of climate change risks and the performance of clean versus dirty energy market 媒体对气候变化风险的报道以及清洁能源与污染能源市场的表现

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-11-06 DOI: 10.1016/j.jcomm.2025.100523

Leila Hedhili Zaier , Khaled Mokni , Robert F. Scherer , Sami Ben Jabeur

{"title":"Media coverage of climate change risks and the performance of clean versus dirty energy market","authors":"Leila Hedhili Zaier , Khaled Mokni , Robert F. Scherer , Sami Ben Jabeur","doi":"10.1016/j.jcomm.2025.100523","DOIUrl":"10.1016/j.jcomm.2025.100523","url":null,"abstract":"<div><div>This study examines the impact of public climate-change discourse on the price returns of clean versus dirty energy stocks, utilizing novel measures of climate risk derived from diverse sources, including newspapers, radio, and television. By applying the innovative quantile-on-quantile connectedness approach, the results reveal significant bidirectional interactions between climate change discourse and energy markets. Clean energy stocks generally exhibit greater sensitivity to media coverage than dirty energy stocks, especially during periods of strong market performance. High levels of media attention tend to increase the connectedness between media narratives and energy markets, with clean energy stocks acting as transmitters of positive shocks under favorable market conditions. Conversely, dirty energy markets tend to be more reactive to external shocks during periods of low market performance, reflecting their vulnerability to negative media coverage. The total connectedness index fluctuates over time, with clean energy markets showing higher direct connectedness under intense media coverage and dirty energy stocks exhibiting stronger reverse connectedness during economic stress. Global crises such as COVID-19 and the Russia–Ukraine war amplify these dynamics, contributing to increased market volatility. These insights underscore the importance of considering media narratives in investment strategies and policymaking related to energy markets.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100523"},"PeriodicalIF":4.5,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145525324","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

The oil industry chain under climate risk: Evidence from China's listed oil companies 气候风险下的石油产业链：来自中国石油上市公司的证据

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-10-10 DOI: 10.1016/j.jcomm.2025.100519

Jingrui Qin , Dun Liu , Chao Liang

{"title":"The oil industry chain under climate risk: Evidence from China's listed oil companies","authors":"Jingrui Qin , Dun Liu , Chao Liang","doi":"10.1016/j.jcomm.2025.100519","DOIUrl":"10.1016/j.jcomm.2025.100519","url":null,"abstract":"<div><div>In recent years, the impact of climate change and associated risks on global energy markets has grown significant, particularly in the oil industry, which is a key area with dual economic and environmental impacts. In this paper, we examine the frequency dynamics between listed oil companies in China and the causal relationships between climate transition risk and physical risk and risk spillover from listed oil companies. First, this paper discusses the fluctuation spillover effect between listed oil companies under the HD-TVPVAR-BK (high-dimensional time-varying frequency domain) spillover framework. Furthermore, the rolling Hong test and DCC-MGARCH Hong test are used to analyse the two-way causal relationships between the PRI (climate physical risk) and the TRI (climate transition risk) and listed oil companies. The results show that short-term fluctuation spillover is the main factor of information transmission in the oil industry and extends far beyond the long-term fluctuation spillover. Information transmission is heterogeneous among different oil companies, and there are differences between the short and long terms. In addition, our research highlights the significant dynamic causal relationships between the TRI and the PRI and Chinese petroleum enterprises, especially when risk events occur. This insight provides oil industry companies with new data support and analytical perspective to develop short- and long-term strategies to address climate risks and drive a low-carbon transition.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100519"},"PeriodicalIF":4.5,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145320606","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

Hedging shipping freight rates using conditional Value-at-Risk and Buffered Probability of Exceedance 使用条件风险价值和缓冲超出概率对冲航运运价

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-09-23 DOI: 10.1016/j.jcomm.2025.100515

Xiaolin Sun , Amir H. Alizadeh , Panos K. Pouliasis

{"title":"Hedging shipping freight rates using conditional Value-at-Risk and Buffered Probability of Exceedance","authors":"Xiaolin Sun , Amir H. Alizadeh , Panos K. Pouliasis","doi":"10.1016/j.jcomm.2025.100515","DOIUrl":"10.1016/j.jcomm.2025.100515","url":null,"abstract":"<div><div>This paper investigates the performance of the minimum Conditional Value-at-Risk (CVaR) hedging technique in the dry bulk shipping freight market, where extreme volatility and asymmetric return distributions often limit the effectiveness of traditional minimum variance approaches. The CVaR-based framework is used to minimize the downside tail risk in both static and dynamic hedging settings using a dataset of Forward Freight Agreements (FFAs) for Capesize, Panamax and Supramax vessels over the period of January 2007 to December 2022. Our results suggest that the effectiveness of alternative hedging strategies is sensitive to the distributional shape of the underlying returns, underscoring the suitability of CVaR-based strategies under heavy-tailed and skewed returns. Furthermore, we introduce a probabilistic optimization framework that minimizes the Buffered Probability of Exceedance (bPOE), subject to a pre-specified CVaR constraint. This dual-risk formulation yields an efficient frontier, i.e., a set of optimal solutions between risk and return, that quantifies the trade-off between the likelihood and magnitude of extreme losses, ultimately enhancing hedging performance and offering insights into tail risk management.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100515"},"PeriodicalIF":4.5,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145220834","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

Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis 原油、绿色金融和有色金属市场的互联性和时频溢出效应：一个高矩分析

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-09-25 DOI: 10.1016/j.jcomm.2025.100516

Hongli Niu, Yiming Ma

{"title":"Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis","authors":"Hongli Niu, Yiming Ma","doi":"10.1016/j.jcomm.2025.100516","DOIUrl":"10.1016/j.jcomm.2025.100516","url":null,"abstract":"<div><div>This paper investigates the spillover effects of high moments, including volatility, skewness, and kurtosis, in the crude oil, green finance and non-ferrous metal markets in the time-frequency domain. We employ spillover methods by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018), together with the GARCHSK higher-moment model, to analyze the interconnectedness among these markets. Our study reveals several key findings: Firstly, spillover effects diminish as higher-order moments are considered, with significant spillovers concentrated at lower frequencies. Secondly, spillovers exhibit time-varying characteristics, with heightened intensity during turbulent period. Thirdly, the net spillover roles of individual markets vary by frequency and moment type, indicating asymmetry in spillover effects. For example, lead and nickel act as primary net transmitters, except for volatility spillovers over short- and medium-term periods, while ESG market serves as a net transmitter, excluding skewness spillovers at lower frequencies. Lastly, constructing portfolios that include green financial assets or oil assets alongside non-ferrous metal assets can effectively reduce portfolio risk. This work offers valuable insights for investors aiming to build balanced portfolios and for regulators designing effective risk management strategies.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100516"},"PeriodicalIF":4.5,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145220835","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

The other side of the coin: Speculation in bearish natural gas markets 硬币的另一面：在看跌的天然气市场进行投机

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-09-25 DOI: 10.1016/j.jcomm.2025.100514

Chanaka N. Ganepola , Alireza Zarei , Uchenna Tony-Okeke

引用次数: 0

Energy price uncertainty and sectoral tail risk: Evidence from quantile-on-quantile connectedness 能源价格不确定性和行业尾部风险：来自分位数间连通性的证据

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-09-09 DOI: 10.1016/j.jcomm.2025.100512

Boqiang Lin , Tianxu Lan

{"title":"Energy price uncertainty and sectoral tail risk: Evidence from quantile-on-quantile connectedness","authors":"Boqiang Lin , Tianxu Lan","doi":"10.1016/j.jcomm.2025.100512","DOIUrl":"10.1016/j.jcomm.2025.100512","url":null,"abstract":"<div><div>As the Chinese market increasingly becomes dependent on uncertainties in coal and oil prices, this paper examines the implications for financial markets and the transmission of tail risk across various industries. Employing a generalized quantile connectedness network model, we analyze the impact of coal price uncertainty (CPU) and international oil price uncertainty (OPU) on the volatility of Chinese sectoral stock markets during the period from 2016 to 2025. The study yields the following key conclusions: (1) In the context of “directly related” tail states, systemic risk spillover is most pronounced; (2) The net risk spillover from CPU and OPU primarily occurs under conditions of “high uncertainty + high market pressure,” demonstrating a significant complementary mechanism among the energy market, financial market, and industrial sector; (3) In periods of heightened volatility, CPU and OPU emerge as critical nodes within a highly interconnected network; (4) When faced with supply-side external shocks, the risk spillover effects associated with energy price uncertainty are notably amplified. Based on these findings, this paper proposes targeted policy recommendations.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"40 ","pages":"Article 100512"},"PeriodicalIF":4.5,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145060522","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

Climate change exposure risk, reserves and stock returns of oil and gas companies 气候变化风险，石油和天然气公司的储量和股票回报

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-12-01 Epub Date: 2025-11-10 DOI: 10.1016/j.jcomm.2025.100524

Diana Castro , Juncal Cunado , Juan Equiza-Goñi , Fernando Perez de Gracia

引用次数: 0