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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,&nbsp;Mingtao Zhou,&nbsp;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
{"title":"Oil jump tail risk as a driver of inflation dynamics","authors":"Laurent Ferrara ,&nbsp;Aikaterini Karadimitropoulou ,&nbsp;Athanasios Triantafyllou","doi":"10.1016/j.jcomm.2024.100434","DOIUrl":"10.1016/j.jcomm.2024.100434","url":null,"abstract":"<div><p>In this paper, we look at the role of various oil jump tail risk measures as drivers of both U.S. headline and core inflation. Those measures are first computed from high-frequency oil future prices and are then introduced into standard regression models in order to (i) assess in-sample determinants of inflation, (ii) assess overtime the evolution of inflation drivers, (iii) estimate impulse response functions and (iv) forecast inflation out-of-sample for various horizons. Empirical results suggest that oil jump tail risk measures contain useful information to describe inflation dynamics, generally leading to upward inflationary pressures. Even after controlling from standard variables involved in a Phillips curve, goodness-of-fit measures show evidence of a gain, in particular for headline inflation. Overall, we observe that oil jump tail risk measures are contributing more to inflation dynamics since the Covid-19 crisis.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100434"},"PeriodicalIF":3.7,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000539/pdfft?md5=5d89b9e4b9ec4a970908e9abe8f70468&pid=1-s2.0-S2405851324000539-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142099684","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
Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility 用原油波动指数分散原油价格风险：波动率的作用
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2024-08-23 DOI: 10.1016/j.jcomm.2024.100425
Leon Li , Peter Miu
{"title":"Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility","authors":"Leon Li ,&nbsp;Peter Miu","doi":"10.1016/j.jcomm.2024.100425","DOIUrl":"10.1016/j.jcomm.2024.100425","url":null,"abstract":"<div><p>To understand the diversification benefit of crude oil volatility, we examine the return-volatility relation in the crude oil market, given the interaction of the volatility (VOL) and the volatility-of-volatility (VOV). We develop a novel empirical model of the crude oil price and crude oil volatility index (OVX) returns incorporating both time-varying and state-dependent variances and correlations, thus allowing us to identify distinct market regimes of VOL and VOV. We find that the behavior of the return-volatility relation is contingent on the prevailing VOV regimes. Specifically, in a low (high) VOV regime, the relation becomes less (more) negative as VOL increases. These empirical results therefore imply that the diversification benefit of crude oil volatility is far from uniform across the different market states. Finally, using our proposed empirical model, we demonstrate the economic significance of recognizing both the time-varying and state-dependent variances/correlations in portfolio risk forecasting and construction.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"36 ","pages":"Article 100425"},"PeriodicalIF":3.7,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000448/pdfft?md5=0fd7e8f45700b2753a2bc06abc6f3b1f&pid=1-s2.0-S2405851324000448-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098459","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
Seasonality patterns in LNG shipping spot and time charter freight rates 液化天然气航运即期和定期包船运费的季节性模式
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2024-08-10 DOI: 10.1016/j.jcomm.2024.100424
Dionysios Polemis, Christos Bentsos
{"title":"Seasonality patterns in LNG shipping spot and time charter freight rates","authors":"Dionysios Polemis,&nbsp;Christos Bentsos","doi":"10.1016/j.jcomm.2024.100424","DOIUrl":"10.1016/j.jcomm.2024.100424","url":null,"abstract":"<div><p>The aim of this paper is to investigate the existence and the nature of seasonality in LNG freight rates of different duration contract, over different market conditions (peak and troughs) for the period from December 2010 to June 2023. We employ the HEGY method and seasonal dummy variables to test for stochastic and deterministic seasonality, respectively. Then we use Markov Switching models to test for asymmetries in seasonal fluctuations across different market conditions. We reject the existence of stochastic seasonality for all freight series while results on deterministic seasonality indicate increases in rates in June, October, and November. We also found that seasonal patterns vary across market conditions, revealing that seasonal rate movements are more pronounced when the market is in downturn. Moreover, we found that the seasonal movements present similar patterns across different trading routes. The results have implications for stakeholders across the LNG value chain.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100424"},"PeriodicalIF":3.7,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141963826","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
Did grain futures prices overreact to the Russia–Ukraine war due to herding? 谷物期货价格对俄乌战争的过度反应是否源于羊群效应？
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2024-08-06 DOI: 10.1016/j.jcomm.2024.100422
Colin A. Carter , Sandro Steinbach
{"title":"Did grain futures prices overreact to the Russia–Ukraine war due to herding?","authors":"Colin A. Carter ,&nbsp;Sandro Steinbach","doi":"10.1016/j.jcomm.2024.100422","DOIUrl":"10.1016/j.jcomm.2024.100422","url":null,"abstract":"<div><p>We study the impact of the 2022 Russian invasion of Ukraine on grain futures prices. The war allows us to evaluate whether commodity futures markets at the time were driven by investor herding. Using event study methods, we find that wheat futures prices rose by 35 percent above the counterfactual until the EU Solidarity Lanes were announced, more than corn futures prices, which were up 16 percent. This relative price response cannot be explained by herding behavior. Furthermore, prices for control commodities did not respond to the war at all, contradicting the herding theory. There is no statistical evidence of abnormal speculative pressure in the market around the time of the invasion, and we conclude the markets put a fair price on the wartime risk of Black Sea grain shipment disruptions.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100422"},"PeriodicalIF":3.7,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000412/pdfft?md5=fc62b6ef0b705f197ec6895a5dbb53f4&pid=1-s2.0-S2405851324000412-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141985590","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
Boring finance. Petroleum exploration and firm debt: Evidence from Norway 石油勘探钻井融资与公司债务：挪威的证据
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2024-07-25 DOI: 10.1016/j.jcomm.2024.100421
Johannes Mauritzen
{"title":"Boring finance. Petroleum exploration and firm debt: Evidence from Norway","authors":"Johannes Mauritzen","doi":"10.1016/j.jcomm.2024.100421","DOIUrl":"10.1016/j.jcomm.2024.100421","url":null,"abstract":"<div><p>The role of financing in petroleum exploration has gained prominence due to sustainability commitments by major financing institutions. Yet the relationship between exploration and financing has been little explored and poorly understood. I create a novel data set combining detailed exploration data with financial register data on all public and private firms operating on the Norwegian Continental Shelf to analyze the relationship between debt and drilling decisions. I make use of both an over-dispersed Poisson regression model estimated by maximum likelihood and a Bayesian hierarchical negative binomial regression model where key elements of the industry microstructure are specified and explicitly modeled. I find evidence that short-term debt is associated with lower rates of drilling and more modest evidence that long-term debt has a slightly positive relationship with exploratory drilling. This evidence is consistent with a financial constraints theory of oil drilling, and supports the argument that exploration drilling is dependent on a firms access to financing.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100421"},"PeriodicalIF":3.7,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000400/pdfft?md5=29d0c96789b36b778c1a715a6442ff8f&pid=1-s2.0-S2405851324000400-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850984","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
Nash equilibria in greenhouse gas offset credit markets 温室气体抵消信贷市场的纳什均衡
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2024-06-22 DOI: 10.1016/j.jcomm.2024.100419
Liam Welsh , Sebastian Jaimungal
{"title":"Nash equilibria in greenhouse gas offset credit markets","authors":"Liam Welsh ,&nbsp;Sebastian Jaimungal","doi":"10.1016/j.jcomm.2024.100419","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100419","url":null,"abstract":"<div><p>One approach to reducing greenhouse gas (GHG) emissions is to incentivise carbon capturing and carbon reducing projects while simultaneously penalising excess GHG output. In this work, we present a novel market framework and characterise the optimal behaviour of GHG offset credit (OC) market participants in both single-player and two-player settings. The single player setting is posed as an optimal stopping and control problem, while the two-player setting is posed as optimal stopping and mixed-Nash equilibria problem. We demonstrate the importance of acting optimally using numerical solutions and Monte Carlo simulations and explore the differences between the homogeneous and heterogeneous players. In both settings, we find that market participants benefit from optimal OC trading and OC generation.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100419"},"PeriodicalIF":3.7,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000382/pdfft?md5=9ee3dcec23d33e3668b5de6e7d603887&pid=1-s2.0-S2405851324000382-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141540786","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
Understanding the variance of earnings growth: The case of shipping 了解盈利增长的差异：航运业案例
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2024-06-18 DOI: 10.1016/j.jcomm.2024.100420
Hyun-Tak Lee , Heesung Yun
{"title":"Understanding the variance of earnings growth: The case of shipping","authors":"Hyun-Tak Lee ,&nbsp;Heesung Yun","doi":"10.1016/j.jcomm.2024.100420","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100420","url":null,"abstract":"<div><p>This study examines the relationship between the unexpected changes in earnings and the shipping market movements. The econometric method of variance decomposition proposed by Campbell (1991) is employed to empirically analyze the Panamax and Capesize markets. We find that a large proportion of unexpected earnings growth is related to news about returns that indicate subsequent price changes. The results provide important insights to practice for sustaining shipping businesses, which helps shipping companies make better investment and risk-management decisions. The contribution of this research is to deepen the understanding of the interaction between shocks to earnings growth, returns, and price–charter ratios in the present-value context.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100420"},"PeriodicalIF":3.7,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141439122","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
Stock return predictability using economic narrative: Evidence from energy sectors 利用经济叙事预测股票回报率：能源行业的证据
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2024-05-31 DOI: 10.1016/j.jcomm.2024.100418
Tian Ma , Ganghui Li , Huajing Zhang
{"title":"Stock return predictability using economic narrative: Evidence from energy sectors","authors":"Tian Ma ,&nbsp;Ganghui Li ,&nbsp;Huajing Zhang","doi":"10.1016/j.jcomm.2024.100418","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100418","url":null,"abstract":"<div><p>This paper applies the Narrative-based Energy General Index (NEG) to forecast stock returns in the energy industry. The index is constructed using natural language processing (NLP) techniques applied to news topics from <em>The Wall Street Journal</em>. The results indicate that NEG outperforms in predicting future returns of the energy industry in both in-sample and out-of-sample, and the predictive power surpasses that of other macroeconomic variables. The asset allocation exercise demonstrates the substantial economic value of NEG. Furthermore, we document that NEG not only exhibits superior predictive power for energy sector returns but also provides valuable insights for the whole stock market.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100418"},"PeriodicalIF":4.2,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141243347","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
Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions 跃迁扩散期权定价模型的隐含参数估计：定价准确性以及损失和评估函数的作用
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2024-05-27 DOI: 10.1016/j.jcomm.2024.100408
Jimmy E. Hilliard , Jitka Hilliard , Julie T.D. Ngo
{"title":"Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions","authors":"Jimmy E. Hilliard ,&nbsp;Jitka Hilliard ,&nbsp;Julie T.D. Ngo","doi":"10.1016/j.jcomm.2024.100408","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100408","url":null,"abstract":"<div><p>There is extensive literature on problems involved in estimating implied parameters in the Merton Jump Diffusion model. Using simulated data, we use weighted non-linear least squares to estimate implied parameters in the four parameter jump diffusion model (JD) and in an eight parameter jump diffusion model with convenience yield (JDC). We find reliable and accurate implied parameter estimates for the JD model but biased and unreliable estimates for some parameters in the JDC model. However, for both models we estimate accurate option prices, usually within several basis points. We also use Bitcoin real data to estimate parameters and test the out-of-sample performance of the JDC model.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100408"},"PeriodicalIF":4.2,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141243346","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
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