Journal of Commodity Markets最新文献_第4页

The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries 中游放大器：中国锂供应链从采矿到电池的风险溢出效应

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-06 DOI: 10.1016/j.jcomm.2025.100471

Lanyong Yang , Yongguang Zhu , Junhui Li , Shiquan Dou , Gang Liu , Deyi Xu

{"title":"The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries","authors":"Lanyong Yang , Yongguang Zhu , Junhui Li , Shiquan Dou , Gang Liu , Deyi Xu","doi":"10.1016/j.jcomm.2025.100471","DOIUrl":"10.1016/j.jcomm.2025.100471","url":null,"abstract":"<div><div>The global energy transition has significantly increased the demand for lithium resources, raising market concerns about the stability of the global lithium supply chain. Understanding the relationships among different commodities within this supply chain is crucial for managing associated risks. In this study, we apply a time-varying parameter vector autoregression model to investigate the spillover effects and dynamic dependency of price volatility across the lithium supply chain. Our results reveal a high degree of systemic risk among lithium supply chains. Specifically, the risk spillover from the midstream segment to the upstream segment is the strongest and increasing, while the risk spillover to the downstream segment is the weakest and showing a downward trend. Additionally, the midstream serves as the primary net transmitter of price shocks, whereas the upstream and downstream segments more often act as net receivers. We identify two main pathways for the spillover of price shocks: one from the midstream to the upstream and then to the downstream, and another directly from the midstream to the downstream. These findings are important for mitigating the accumulation of risks within the lithium supply chain.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100471"},"PeriodicalIF":3.7,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684302","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

Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis 考察气候风险、化石燃料、可再生能源和碳市场之间的感知溢出效应：高阶矩和分位数分析

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-03-06 DOI: 10.1016/j.jcomm.2025.100470

Jinxin Cui , Aktham Maghyereh

{"title":"Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2025.100470","DOIUrl":"10.1016/j.jcomm.2025.100470","url":null,"abstract":"<div><div>The complex risks of global climate change and the transition to a sustainable economy have increasingly become central to research and policy debates. Climate risk perceptions influence fossil fuel, renewable energy, and carbon markets through both investment behavior and regulatory policy channels. Understanding the spillovers between climate risk perceptions and commodity markets has profound implications for sustainable investments and risk management strategies. This paper extends the existing literature by examining higher-order moment risk spillovers among perceptions of climate physical risks (CPR) and transition risks (CTR), fossil fuel, renewable energy, and carbon markets across different quantiles. Furthermore, this paper also proposes an analytical framework that integrates ex-post moment measures with an innovative QVAR extended joint connectedness approach. Our empirical analysis reveals that the connectedness outcomes are contingent upon moment orders and specific quantile levels. Notably, total spillovers are markedly higher at the extreme quantiles (especially at the 0.95 quantile) compared to the median quantile. Importantly, CPRI and CTRI serve as net transmitters of spillovers at the 0.05 and 0.95 quantiles but shift to being net recipients under normal market conditions. The directional net spillovers transmitted from climate risk perceptions to energy and carbon markets are more pronounced and consistent at the extreme higher and lower quantiles. Finally, we find that dynamic total spillovers of skewness and kurtosis at extreme quantiles are more volatile than at the median, with significant sensitivity to major events such as the COVID-19 pandemic, the Russia-Ukraine war, the Israel-Hamas war, extreme climate disasters, and the United Nations Climate Change Conferences.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100470"},"PeriodicalIF":3.7,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143637289","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 short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets 跨资产关系的短期和长期周期性变化：金融和“金融化”资产的混合频率证据

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-02-28 DOI: 10.1016/j.jcomm.2025.100462

Menelaos Karanasos , Stavroula Yfanti , Jiaying Wu

{"title":"The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets","authors":"Menelaos Karanasos , Stavroula Yfanti , Jiaying Wu","doi":"10.1016/j.jcomm.2025.100462","DOIUrl":"10.1016/j.jcomm.2025.100462","url":null,"abstract":"<div><div>We study the dynamic interdependence between stocks, a risky and financial ‘by definition’ asset class, and the ‘financialised’ assets from the real estate and commodity markets. We first introduce a new multivariate corrected Dynamic Conditional Correlations Mixed-Data Sampling (cDCC-MIDAS) model through which we analyse short- and long-run time-varying correlation dynamics among stocks, real estate, and five commodity types with direct implications for risk management and portfolio optimisation. The correlation analysis identifies short- and long-run hedging properties and interdependence types and concludes on strong countercyclical cross-asset interlinkages, highly dependent on the state of the economy in most cases (contagion effects) and weak procyclical connectedness for certain safe-haven assets (flight-to-quality). We further investigate the macro-relevance and crisis-vulnerability of the correlations’ evolution by unveiling the macro-determinants of asset co-movements. The economic environment plays a key role as a contagion or flight-to-quality transmitter, outweighing the effects of economic linkages among assets, while the uncertainty channel intensifies the macro impact on the cross-asset nexus.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100462"},"PeriodicalIF":3.7,"publicationDate":"2025-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529697","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

The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system 宏观变量对美国货币和商品期货市场系统波动的传递

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-02-24 DOI: 10.1016/j.jcomm.2025.100463

Xingyu Dai , Imran Yousaf , Jiqian Wang , Qunwei Wang , Chi Keung Marco Lau

{"title":"The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system","authors":"Xingyu Dai , Imran Yousaf , Jiqian Wang , Qunwei Wang , Chi Keung Marco Lau","doi":"10.1016/j.jcomm.2025.100463","DOIUrl":"10.1016/j.jcomm.2025.100463","url":null,"abstract":"<div><div>This paper explores how the U.S. macro variable influences volatility co-movement in currency and commodity futures markets system. It does this by using the Dynamic Equicorrelation-Mixed Data Sampling-X model, and then calculating the daily realized volatility (RV), good volatility (GV), and bad volatility (BV) of 22 futures using 5-min high-frequency data. The Hodrick-Prescott filter method is applied to compute the raw, cycle, and trend components of the news for 17 macro variables and 4 principal components of these macro variables. There are three key study findings. First, the raw component of monetary policy uncertainty is the best fit for RV co-movement, while the raw component of trade policy uncertainty is the best fit for GV and BV co-movement. Second, almost all macro variables show that the trend component news do not affect volatility co-movement. Finally, the duration of the impact of macro variables exceeds 4 months, while the influence of raw news on BV co-movement is generally shorter. The macro variable information also helps currency and commodity futures investors to make global minimum variance portfolio optimization.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100463"},"PeriodicalIF":3.7,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529765","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 emotion intensity and commodity futures pricing 媒体情绪强度与商品期货定价

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-02-07 DOI: 10.1016/j.jcomm.2025.100460

Yeguang Chi, Lina El-Jahel, Thanh Vu

引用次数: 0

Corporate reputational dynamics and their impact on global commodity markets 企业声誉动态及其对全球商品市场的影响

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-02-06 DOI: 10.1016/j.jcomm.2025.100459

Iris Li , Erdinc Akyildirim , Thomas Conlon , Shaen Corbet

引用次数: 0

A quantitative model of sustainability risk in finance 金融领域可持续性风险的量化模型

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-01-22 DOI: 10.1016/j.jcomm.2025.100457

Takashi Kanamura

引用次数: 0

Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil? 不同的投机策略会对巴西活牛期货的波动产生不同的影响吗？

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-01-11 DOI: 10.1016/j.jcomm.2025.100458

Augusto Seabra Santos, Alexandre Nunes Almeida

引用次数: 0

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 外推电价的长期季节性成分，以预测前一天的市场

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-11-29 DOI: 10.1016/j.jcomm.2024.100449

Katarzyna Chȩć, Bartosz Uniejewski, Rafał Weron

{"title":"Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market","authors":"Katarzyna Chȩć, Bartosz Uniejewski, Rafał Weron","doi":"10.1016/j.jcomm.2024.100449","DOIUrl":"10.1016/j.jcomm.2024.100449","url":null,"abstract":"<div><div>Recent studies provide evidence that decomposing the electricity price into the long-term seasonal component (LTSC) and the remaining part, predicting both separately, and then combining their forecasts can bring significant accuracy gains in day-ahead electricity price forecasting. However, not much attention has been paid to predicting the LTSC, and the last 24 hourly values of the estimated pattern are typically copied for the target day. To address this gap, we introduce a novel approach which extracts the trend-seasonal pattern from a price series extrapolated using price forecasts for the next 24 h. We assess it using two 5-year long test periods from the German and Spanish power markets, covering the Covid-19 pandemic, the 2021/2022 energy crisis, and the war in Ukraine. Considering parsimonious autoregressive and LASSO-estimated models, we find that improvements in predictive accuracy range from 3% to 15% in terms of the root mean squared error and exceed 1% in terms of profits from a realistic trading strategy involving day-ahead bidding and battery storage.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"37 ","pages":"Article 100449"},"PeriodicalIF":3.7,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181344","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

Time to get mature: Collateral, flexibility and the hedging horizon decision 是时候成熟了：抵押品、灵活性和对冲期限决策

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-11-16 DOI: 10.1016/j.jcomm.2024.100448

Håkan Jankensgård , Nicoletta Marinelli , Rafael Schiozer

引用次数: 0