Journal of Commodity Markets最新文献_第3页

Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty 国际商品期货市场的不对称多尺度系统性风险溢出效应：传染病不确定性的作用

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-10-26 DOI: 10.1016/j.jcomm.2024.100443

Yanli Zhu , Xian Yang , Chuanhai Zhang , Sihan Liu , Jiayi Li

{"title":"Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty","authors":"Yanli Zhu , Xian Yang , Chuanhai Zhang , Sihan Liu , Jiayi Li","doi":"10.1016/j.jcomm.2024.100443","DOIUrl":"10.1016/j.jcomm.2024.100443","url":null,"abstract":"<div><div>This paper investigates the role of infectious disease uncertainty on multi-scale risk spillovers and portfolio implications across 12 international commodity futures markets from January 2006 to August 2022. We use wavelet packet decomposition and a novel risk spillover network topology approach based on a smooth transition vector autoregression model. The main findings are summarized as follows. First, there is an obvious asymmetry in spillover effects, i.e., the intensity of risk spillovers increases significantly during periods of high infectious disease uncertainty, and clear evidence of time-varying total spillovers across various regimes and frequencies. Second, cross-category risk spillovers are more pronounced in high-uncertainty regimes, while risk networks tend to cluster within the same category during low-uncertainty regimes. Third, the role of commodity futures in the risk spillover networks varies across different time scales and regimes, with gold consistently acting as a stable net risk transmitter. We also develop optimal portfolio strategies across commodity futures markets at different time scales and regimes based on the risk spillover analysis.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100443"},"PeriodicalIF":3.7,"publicationDate":"2024-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572506","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

Food-fuel nexus beyond mean-variance: New evidence from a quantile approach 超越均值方差的粮食-燃料关系：来自量化方法的新证据

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-10-20 DOI: 10.1016/j.jcomm.2024.100441

Linjie Wang , Xiaoli Etienne , Jian Li

{"title":"Food-fuel nexus beyond mean-variance: New evidence from a quantile approach","authors":"Linjie Wang , Xiaoli Etienne , Jian Li","doi":"10.1016/j.jcomm.2024.100441","DOIUrl":"10.1016/j.jcomm.2024.100441","url":null,"abstract":"<div><div>This paper investigates the dynamic relationship between crude oil, ethanol, and corn markets across various quantiles of return distributions, as well as at higher statistical moments. Using a quantile vector autoregression model and data from 2007 to 2022, we find that the cross-market linkages are quantile dependent, with the strongest connections observed in the tails of the distribution. A shock to the oil market significantly impacts ethanol and corn returns under extreme bearish and bullish conditions. Positive shocks to the corn market reduce ethanol returns when the ethanol market is highly bullish, but this effect becomes positive in the left tail of the distribution. We also identify significant co-movement in higher statistical moments between these markets. Extreme excess kurtosis in the food-fuel nexus is more likely to occur with high financial market uncertainty, a bullish stock market, contracting industrial production, and a strong US dollar. In addition to these variables, credit spreads, futures market liquidity, futures term structure, and hedging pressure also influence kurtosis in individual markets within the nexus.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100441"},"PeriodicalIF":3.7,"publicationDate":"2024-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142536028","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

Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets 地缘政治风险在波动结构中的重要性：来自生物燃料、原油和谷物商品市场的新证据

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-10-16 DOI: 10.1016/j.jcomm.2024.100440

Renata Karkowska, Szczepan Urjasz

{"title":"Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets","authors":"Renata Karkowska, Szczepan Urjasz","doi":"10.1016/j.jcomm.2024.100440","DOIUrl":"10.1016/j.jcomm.2024.100440","url":null,"abstract":"<div><div>This paper aims to explore the complex linkages and evolving structure of price volatility in the global oil, biofuels, and grain commodity markets during periods of global turbulence. With the growing urgency for energy stability amid climate change, biofuels are gaining traction as a viable alternative energy source. However, their production can significantly impact essential commodities like grains and vegetable oils, increasing food prices and heightened market volatility. We introduced a TVP-VAR frequency connectedness method to address this, analyzing data from January 1, 2013, to September 29, 2023. Our approach offers a fresh perspective on market dynamics and geopolitical risks.</div><div>The study underscores the growing influence of agricultural shocks on energy markets, particularly within the ethanol sector. It confirms that the Russia-Ukraine war, a significant geopolitical event, has had a profound and enduring impact on the interconnectedness of these markets across various timeframes and frequencies. We offer concrete, actionable policy recommendations to mitigate the transmission of market shocks within the energy and food sectors, thereby bolstering investor and policymaker confidence and facilitating informed decision-making.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100440"},"PeriodicalIF":3.7,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142445380","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

Expected returns on commodity ETFs and their underlying assets 商品 ETF 及其相关资产的预期回报

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-10-09 DOI: 10.1016/j.jcomm.2024.100439

Gonzalo Cortazar , Hector Ortega , Joaquin Santa Maria , Eduardo S. Schwartz

{"title":"Expected returns on commodity ETFs and their underlying assets","authors":"Gonzalo Cortazar , Hector Ortega , Joaquin Santa Maria , Eduardo S. Schwartz","doi":"10.1016/j.jcomm.2024.100439","DOIUrl":"10.1016/j.jcomm.2024.100439","url":null,"abstract":"<div><div>This paper proposes a new way of estimating ETFs' expected returns. Instead of using traditional CAPM-like expected return models on ETFs' market prices, it consists of implementing ETFs' investment strategy on the underlying assets and using these assets' pricing models to estimate the expected returns on the ETFs. The hypothesis is that whenever valuable knowledge is available on the underlying asset returns, this information can be helpful when estimating expected ETF returns.</div><div>We illustrate our approach by choosing the United States Oil Fund (USO), the largest oil futures-based ETF. We propose estimating ETF returns using their investment strategy in oil futures and an oil pricing model. We use a three-factor stochastic process for oil futures and forecasts calibrated using a Kalman Filter and maximum likelihood estimation procedure.</div><div>Using historical futures prices, we successfully replicate historical NAV values following their investment strategy. We then estimate ETFs' expected returns using NAVs as a proxy for ETFs' market values and implement their investment strategy priced using the oil price model. We then compare our results with the more traditional CAPM expected return estimation, obtaining a similar average but a time-varying expected ETF return that reacts to market conditions and allows us to analyze their macroeconomic determinants.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100439"},"PeriodicalIF":3.7,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142432445","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 role of news sentiment in salmon price prediction using deep learning 新闻情绪在利用深度学习预测鲑鱼价格中的作用

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-10-05 DOI: 10.1016/j.jcomm.2024.100438

Christian Oliver Ewald , Yaoyu Li

引用次数: 0

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