Journal of Commodity Markets最新文献_第5页

Performance of systemic stress in agricultural commodities and its implication for volatility prediction in SSA equities 农业大宗商品的系统性压力表现及其对SSA股票波动性预测的影响

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-05-25 DOI: 10.1016/j.jcomm.2025.100480

Qingying Zheng , Jintao Wu , Boqiang Lin

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引用次数: 0

Supply and Demand shocks: the short-term and long-term drivers of oil price uncertainty 供给和需求冲击：油价不确定性的短期和长期驱动因素

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-07-11 DOI: 10.1016/j.jcomm.2025.100495

Theodora Bermpei , Athanasios Triantafyllou

引用次数: 0

Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach 全球能源市场的日内波动传导：贝叶斯非参数方法

IF 4.5 4区经济学

Journal of Commodity Markets Pub Date : 2025-09-01 Epub Date: 2025-07-31 DOI: 10.1016/j.jcomm.2025.100496

Martina Danielova Zaharieva, Audronė Virbickaitė, André Portela Santos

{"title":"Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach","authors":"Martina Danielova Zaharieva, Audronė Virbickaitė, André Portela Santos","doi":"10.1016/j.jcomm.2025.100496","DOIUrl":"10.1016/j.jcomm.2025.100496","url":null,"abstract":"<div><div>We specify a volatility transmission model for international energy markets that divides a global trading day into three distinct trading zones, allowing us to investigate the <em>heat wave</em> and <em>meteor shower</em> hypotheses proposed in Engle et al. (1990). The resulting multivariate GARCH model is specified using a highly flexible semiparametric Bayesian framework with non-Gaussian innovations, designed to deal with asymmetry and heavy tails found in financial time series. The empirical results for the oil and natural gas futures markets suggest that volatility transmission is a combination of effects that are both related to volatility in the same region and volatility in the region immediately preceding it. Furthermore, accounting for the fat-tailed behavior not only dramatically improves the in-sample fit, but also helps to uncover additional cross-market (or cross-country) effects and gives us further insights into the exact channels through which energy shocks are transmitted throughout the world. Finally, accounting for both heat wave and meteor shower effects within a non-Gaussian framework leads to substantial improvements in the accuracy of Value-at-Risk estimates.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100496"},"PeriodicalIF":4.5,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144766993","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

Impact of supply chain pressure on traditional energy and metal markets: A Wavelet-based Quantile-on-Quantile perspective 供应链压力对传统能源和金属市场的影响：基于小波的分位数对分位数视角

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-01 Epub Date: 2025-03-17 DOI: 10.1016/j.jcomm.2025.100472

Ahmed H. Elsayed , Giray Gozgor , Rabeh Khalfaoui , Salma Tarchella

引用次数: 0

Assessing government expenditures multipliers under oil price swings 评估油价波动下的政府支出乘数

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-01 Epub Date: 2025-05-05 DOI: 10.1016/j.jcomm.2025.100477

El Mostafa Bentour

{"title":"Assessing government expenditures multipliers under oil price swings","authors":"El Mostafa Bentour","doi":"10.1016/j.jcomm.2025.100477","DOIUrl":"10.1016/j.jcomm.2025.100477","url":null,"abstract":"<div><div>This paper evaluates the impact of government expenditure on output under oil price swings using an SVAR model on a sample of 18 MENA countries. We found that, under an oil price decrease, expenditure multipliers are higher than under an oil price increase and could attain more than one in the short run while going beyond the value of two in the long run. Moreover, on average, spending multiples in oil-exporting countries are higher than those in oil-importing countries at times of decreasing oil prices, while the opposite is noticed at times of increasing oil prices. These results are in line with the recent literature on fiscal multipliers, being large in times of recessions while being weak in times of expansions. Accordingly, some policy recommendations arise from this study as follows.</div><div>- The study endorses the adoption of a countercyclical fiscal policy in oil-exporting countries where in times of decreasing oil prices, a surge in government expenditure is more beneficial to the economy, compared to times of high oil prices.</div><div>- Oil exporting countries should continue their ongoing effort of diversification away from hydrocarbon sectors to disentangle from implied exogenous shocks and the effects of oil price swings on the fiscal policy stance.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100477"},"PeriodicalIF":3.7,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143918318","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 : 2025-06-01 Epub 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":"2025-06-01","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 effect of oil prices on the US shipping stock prices: The mediating role of freight rates and economic indicators 油价对美国航运股票价格的影响：运价和经济指标的中介作用

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-01 Epub Date: 2025-04-03 DOI: 10.1016/j.jcomm.2025.100474

Andreas Andrikopoulos , Anna Merika , Nikolaos Stoupos

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 : 2025-06-01 Epub 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":"2025-06-01","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

Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization 原油和美元市场的交易时段和非交易时段波动性及其对投资组合优化的影响

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-01 Epub Date: 2025-05-10 DOI: 10.1016/j.jcomm.2025.100479

Yu-Sheng Lai

引用次数: 0

Predicting commodity returns: Time series vs. cross sectional prediction models 预测商品收益：时间序列与横断面预测模型

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2025-06-01 Epub Date: 2025-04-07 DOI: 10.1016/j.jcomm.2025.100475

Timotheos Angelidis , Athanasios Sakkas , Nikolaos Tessaromatis

引用次数: 0