Journal of Commodity Markets最新文献_第4页

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 : 2025-09-01 Epub 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":"2025-09-01","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

Smoothing quantile regression averaging: A new approach to probabilistic forecasting of electricity prices 平滑分位数回归平均：电价概率预测的新方法

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-08-14 DOI: 10.1016/j.jcomm.2025.100501

Bartosz Uniejewski

引用次数: 0

Geopolitical risk and energy market tail risk forecasting: An explainable machine learning approach 地缘政治风险和能源市场尾部风险预测：一个可解释的机器学习方法

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-05-14 DOI: 10.1016/j.jcomm.2025.100478

Mohammad Ashraful Ferdous Chowdhury , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Aviral Kumar Tiwari

引用次数: 0

Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024 对冲粮食价格风险。保持简单！粮食市场的计量经济学证据，1982-2024

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-08-09 DOI: 10.1016/j.jcomm.2025.100503

Marie Steen, Sjur Westgaard, Ole Gjolberg

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 : 2025-09-01 Epub 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":"2025-09-01","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

Extremal dependence in Australian electricity markets 对澳大利亚电力市场的极度依赖

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-05-02 DOI: 10.1016/j.jcomm.2025.100476

Lin Han , Ivor Cribben , Stefan Trück

{"title":"Extremal dependence in Australian electricity markets","authors":"Lin Han , Ivor Cribben , Stefan Trück","doi":"10.1016/j.jcomm.2025.100476","DOIUrl":"10.1016/j.jcomm.2025.100476","url":null,"abstract":"<div><div>Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the dependence between extreme spot price outcomes in the Australian National Electricity Market (NEM). We investigate extremal dependence both in a univariate and multivariate setting, applying the extremogram developed by <span><span>Davis and Mikosch (2009)</span></span> and <span><span>Davis et al., 2011</span></span>, <span><span>Davis et al., 2012</span></span>. We measure the persistence of extreme prices within individual regional markets and the transmission of extreme prices across different regions. With both 5-minute and 30-minute price data, we find that extreme prices are more persistent in the market with a higher share of intermittent renewable energy. We also find that the persistence of extreme prices is more prevalent in more concentrated markets. We also show significant extremal price dependence between different regions, which is typically stronger between physically interconnected markets. The dependence structure of extreme prices shows asymmetric and time-dependent patterns. Applying the extremograms, we further show the effectiveness of the Australian Energy Market Commission’s 2016 rebidding rule with respect to reducing the share of isolated price spikes that are often considered as an indication of strategic bidding. Our results provide important information for the hedging decisions of market participants and for policymakers who aim to reduce market volatility and extreme price outcomes through effective regulations that guide the trading behaviour of market participants as well as improved network interconnections.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100476"},"PeriodicalIF":3.7,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144154361","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

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 : 2025-09-01 Epub Date: 2025-06-04 DOI: 10.1016/j.jcomm.2025.100490

Xiaoyang Yao, Sairidaer Maimaitijiang, Jianfeng Li, Wei Le

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 : 2025-09-01 Epub 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":"2025-09-01","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

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 : 2025-09-01 Epub 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":"2025-09-01","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

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 : 2025-09-01 Epub Date: 2025-06-10 DOI: 10.1016/j.jcomm.2025.100491

André Varella Mollick

引用次数: 0