Gazi Salah Uddin , Brian Lucey , Md Lutfur Rahman , David Stenvall
{"title":"Quantile coherency across bonds, commodities, currencies, and equities","authors":"Gazi Salah Uddin , Brian Lucey , Md Lutfur Rahman , David Stenvall","doi":"10.1016/j.jcomm.2023.100379","DOIUrl":"10.1016/j.jcomm.2023.100379","url":null,"abstract":"<div><p><span>This paper examines quantile<span> coherency in bonds, commodities, currencies, and equities using a novel quantile coherency approach. While recent literature has explored single-frequency tail- and time-frequency dependence in </span></span>asset returns<span>, we provide fresh evidence on asset return dependence across quantiles (proxying business cycles or market conditions) at different frequencies (representing investment horizons). Considering sixty-seven individual asset return series in four asset classes, we observe that low frequency (yearly) dependence is stronger in the bond, foreign exchange, and equity markets. Specifically, we find strong dependence between the German and French bond markets, heating oil and crude oil, gold and silver, British Pound, and Euro, French and German and Canadian and US equities. As we report asset return interdependence in different business cycles and at different time horizons, these results have important implications for portfolio allocation and investment strategy formulation.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100379"},"PeriodicalIF":4.2,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138992716","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}
{"title":"Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2023.100380","DOIUrl":"10.1016/j.jcomm.2023.100380","url":null,"abstract":"<div><p>This study investigates linkages and connectedness among geopolitical risks<span><span>, systemic stress, and commodity futures (energy, precious metals, industrial metals, and agricultural commodities). We combine the 22-day rolling ex-post higher-order moments with a novel Quantile-VAR extended joint connectedness framework. Our findings highlight the significant impacts of geopolitical risks and systemic stress on equicorrelations and </span>spillovers of the higher-order moment risks. The total spillovers of higher-order moments at the extreme upper (0.95) and lower (0.05) quantiles are notably higher than those at the median quantile. Geopolitical risks convey substantial net spillovers of higher-order moment risks to commodity futures, particularly in extreme market status. In normal market conditions, systemic financial stress also transmits notable spillovers to commodity futures. Moreover, the dynamic connectedness indices evolve across time and quantiles.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100380"},"PeriodicalIF":4.2,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138691528","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}
Thomas Conlon , John Cotter , Emmanuel Eyiah-Donkor
{"title":"Forecasting the price of oil: A cautionary note","authors":"Thomas Conlon , John Cotter , Emmanuel Eyiah-Donkor","doi":"10.1016/j.jcomm.2023.100378","DOIUrl":"10.1016/j.jcomm.2023.100378","url":null,"abstract":"<div><p>We study the out-of-sample predictability of monthly crude oil prices using forecast combinations constructed from several individual predictor forecasts. Our empirical results indicate that combination forecasts of monthly average oil prices are more accurate than the no-change forecast with statistically significant reductions in mean square forecast errors (MSFE) and significant directional accuracy at every horizon up to 24 months, consistent with earlier evidence that forecast combinations greatly enhance the forecastability of oil prices. In contrast, we find no significant MSFE reductions or directional accuracy for forecasts of end-of-month oil prices at almost all horizons. Furthermore, we document that end-of-month forecasts when used to guide investment and hedging decisions of investors, statistically, do not deliver superior economic value to investors. Overall, the implication of our results is that the statistical and economic significance of forecasts of oil prices is heavily influenced by the construction of the underlying oil price series and provide a cautionary note on which oil price series to use in forecasting.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100378"},"PeriodicalIF":4.2,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851323000685/pdfft?md5=abf253efbd93c957b26617c9a11e916a&pid=1-s2.0-S2405851323000685-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138493142","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}
Francisco Pinto-Ávalos , Michael Bowe , Stuart Hyde
{"title":"Revisiting the pricing impact of commodity market spillovers on equity markets","authors":"Francisco Pinto-Ávalos , Michael Bowe , Stuart Hyde","doi":"10.1016/j.jcomm.2023.100369","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100369","url":null,"abstract":"<div><p>This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023. We confirm the correlation between these asset prices increases around episodes of financial distress. Prior research attributes this increase to the effects of contagion initiated by commodity price shocks. However, we find that after controlling for the effect of time varying risk aversion and investor sentiment, there is no evidence that the documented correlation increase originates from commodity market shocks. Indeed, we are unable to reject the hypothesis of no contagion. We maintain that controlling for the influence of time varying risk aversion and investor sentiment, together with other factors which potentially cause common variation across price movements in commodity and equity markets, is essential to accurately capturing the relationship between asset prices in these markets.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100369"},"PeriodicalIF":4.2,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851323000594/pdfft?md5=6a725fc6c4fd4933f36f92a7b1df1b83&pid=1-s2.0-S2405851323000594-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138480543","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}
Muhammad Abubakr Naeem , Foued Hamouda , Sitara Karim
{"title":"Tail risk spillover effects in commodity markets: A comparative study of crisis periods","authors":"Muhammad Abubakr Naeem , Foued Hamouda , Sitara Karim","doi":"10.1016/j.jcomm.2023.100370","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100370","url":null,"abstract":"<div><p><span><span>This research aims to investigate the propagation of extreme downside risk, commonly referred to as tail risk, within commodity markets using an innovative CAViaR-based connectivity model. We also evaluate the influence of various crises, including the global financial crisis, the </span>shale oil<span> revolution, the COVID-19 pandemic, and the Russia-Ukraine conflict, on the dynamic relationships among seventeen different commodity markets. Our findings reveal a diverse pattern of interconnections among these markets during distinct crisis periods. Surprisingly, we observe that the nature of these interconnections is remarkably similar during geopolitical and health crises. Notably, the spillover effects between different commodity categories are more pronounced during the COVID-19 pandemic and the Russia-Ukraine conflict than during the global financial crisis and the shale oil revolution. However, it is important to note that the total risk spillovers are more substantial during the global financial crisis. Furthermore, our analysis delves into the unique characteristics of each market, revealing that precious metals can function as a </span></span>safe haven for both energy and industrial metals during times of economic turbulence.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100370"},"PeriodicalIF":4.2,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138439717","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}
Jose Roberto Loureiro , Julian Inchauspe , Roberto F. Aguilera
{"title":"World regional natural gas prices: Convergence, divergence or what? New evidence","authors":"Jose Roberto Loureiro , Julian Inchauspe , Roberto F. Aguilera","doi":"10.1016/j.jcomm.2023.100368","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100368","url":null,"abstract":"<div><p>Mixed and outdated natural gas price convergence results have caused confusion among analysts and strongly call for a comprehensive revision of the topic. The issue has been exacerbated with the recent rampant increase in LNG trade and the emergence of new gas spot trading hubs. Filling the gap, this study conducts growth convergence testing and clustering analysis on a panel comprised of four established gas price benchmarks and two emerging ones that expand up to the pre-Covid-19 period. The most significant finding is that no gas price convergence can be found outside Europe. This is despite the existence of episodes of partial convergence that are identified in the literature, and replicated and explained here. Importantly, the results strongly reject the postulate that increased LNG flows serve as a price-levelling arbitrage mechanism. Overall, these findings inform analysts, researchers and policymakers that they should be wary about taking convergence claims for granted.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100368"},"PeriodicalIF":4.2,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851323000582/pdfft?md5=d9f7ba24d71929fc27ed1bc0ef4db831&pid=1-s2.0-S2405851323000582-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91992725","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}
Kun Guo , Yichong Li , Yunhan Zhang , Qiang Ji , Wanli Zhao
{"title":"How are climate risk shocks connected to agricultural markets?","authors":"Kun Guo , Yichong Li , Yunhan Zhang , Qiang Ji , Wanli Zhao","doi":"10.1016/j.jcomm.2023.100367","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100367","url":null,"abstract":"<div><p><span>In the climate-sensitive agricultural sector, product prices are particularly susceptible to climate risks. In this study, we constructed three novel climate risk perception indices—a climate policy uncertainty index, a climate physical risk index, and a climate concern index—using </span>natural language processing and text mining to investigate their differential effects on bulk agricultural prices. The findings indicate that the responses of agricultural product prices to climate risk perceptions are more pronounced in the short term than in the long term. Moreover, the impacts of climate-related concerns and physical risks have stronger impacts than climate policy uncertainty. The dynamic analysis results also indicate that climate-related events have a great impact on investors and financial markets. Overall, the findings suggest that climate risk perceptions have become a significant factor in agricultural product price changes, which has important implications for policy regulators and market investors.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100367"},"PeriodicalIF":4.2,"publicationDate":"2023-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91992724","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}
Viviana Fernandez , Boris Pastén-Henríquez , Pablo Tapia-Griñen , Rodrigo Wagner
{"title":"Commodity prices under the threat of operational disruptions: Labor strikes at copper mines","authors":"Viviana Fernandez , Boris Pastén-Henríquez , Pablo Tapia-Griñen , Rodrigo Wagner","doi":"10.1016/j.jcomm.2023.100365","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100365","url":null,"abstract":"<div><p>The threat of short-term supply disruptions may matter for commodity prices, although their magnitude is hard to detect, for example due to anticipation, storage and to the relatively short duration of disruption events. This article explores global commodity returns for copper around labor strikes in Chile mines between 1910 and 2010. In the five days around strikes, copper display cumulative abnormal returns (CAR) close to 200 basis points (bps). Consistent with the threat of supply disruptions, the effect comes almost fully from strikes at larger mines (CAR≈ 500 bps). Moreover, the price-increasing effect of strikes is stronger when copper inventories are scarce, as measured by the interest-adjusted basis. Despite strikes being transitory events, we also find a mirroring appreciation of the USD/CLP commodity currency.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100365"},"PeriodicalIF":4.2,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880679","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}
{"title":"Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach","authors":"Michael Gaete, Rodrigo Herrera","doi":"10.1016/j.jcomm.2023.100363","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100363","url":null,"abstract":"<div><p>This study provides a thorough analysis of the dynamics of volatility and dependence among seven international equity and 20 commodity markets across different sectors, highlighting the hedging role played by the latter. We explain volatility using a specification that distinguishes between the short and long terms. At the same time, the dependence structure is modeled through a time-varying conditional factor copula model, which can be split into commodity sectors such that there is homogeneous dependence within each sector. The dynamic of both models is captured through a score-driven specification. Moreover, we solve the risk-averse portfolio selection to determine the existence of diversification benefits when constructing portfolios comprising commodities and stock markets. The main results of the study show that the dependence between the commodity and equity markets is variable over time. The best strategy in the minimum variance portfolio is obtained by incorporating a mix of commodities into the stock market portfolio, especially industrial metals. Furthermore, the factor copula approach is the best specification in terms of the Sharpe ratio independent of portfolio settings.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100363"},"PeriodicalIF":4.2,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880678","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}
Ming-Yuan Yang , Zhanghangjian Chen , Zongzheng Liang , Sai-Ping Li
{"title":"Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events","authors":"Ming-Yuan Yang , Zhanghangjian Chen , Zongzheng Liang , Sai-Ping Li","doi":"10.1016/j.jcomm.2023.100366","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100366","url":null,"abstract":"<div><p><span>In this paper, by using the time-varying parameter vector </span>autoregression<span> model (TVP-VAR) with the asymmetric connectedness indicator and network diagrams, we investigate the dynamic and asymmetric return connectedness in the global “Carbon-Energy-Stock” system, including carbon markets<span> and stock markets of the three largest economies, namely the United States, European Union and China, and fossil energies of crude oil and natural gas under exogenous shocks. Our study shows that (i) the risk spillover level of the global system has significantly increased after the outbreak of two exogenous events, the COVID-19 pandemic and the Russo-Ukrainian war, and the global shock from the COVID-19 pandemic has more widespread and greater impact on the system than the geopolitical shock from the Russo-Ukrainian war, (ii) the global “Carbon-Energy-Stock” system is more sensitive to negative information on price returns than positive information, and the asymmetry of the connectedness is much larger when the system is active and in the presence of exogenous shocks, (iii) risks in the global “Carbon-Energy-Stock” system usually transformed from stock markets, especially the stock markets of the United States and European Union, to the carbon markets. These findings provide valuable guidance and have economic implications for both investors and policymakers worldwide.</span></span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100366"},"PeriodicalIF":4.2,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880676","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}