Journal of Commodity Markets最新文献_第7页

Tail risk spillover effects in commodity markets: A comparative study of crisis periods 商品市场尾部风险溢出效应:危机时期的比较研究

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-11-20 DOI: 10.1016/j.jcomm.2023.100370

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}

引用次数: 0

World regional natural gas prices: Convergence, divergence or what? New evidence 世界各地区天然气价格:趋同、分化还是什么?新证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-11-01 DOI: 10.1016/j.jcomm.2023.100368

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}

引用次数: 0

How are climate risk shocks connected to agricultural markets? 气候风险冲击如何与农业市场联系起来?

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-20 DOI: 10.1016/j.jcomm.2023.100367

Kun Guo , Yichong Li , Yunhan Zhang , Qiang Ji , Wanli Zhao

引用次数: 0

Commodity prices under the threat of operational disruptions: Labor strikes at copper mines 运营中断威胁下的大宗商品价格:铜矿工人罢工

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-17 DOI: 10.1016/j.jcomm.2023.100365

Viviana Fernandez , Boris Pastén-Henríquez , Pablo Tapia-Griñen , Rodrigo Wagner

引用次数: 0

Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 投资组合配置中的商品多元化收益:一个动态因子联结方法

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-16 DOI: 10.1016/j.jcomm.2023.100363

Michael Gaete, Rodrigo Herrera

{"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}

引用次数: 0

Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events 外生事件冲击下全球“碳-能源储备”系统的动态非对称连通性

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-11 DOI: 10.1016/j.jcomm.2023.100366

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}

引用次数: 0

Hedging with futures during nonconvergence in commodity markets 在商品市场非收敛期间用期货对冲

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-11 DOI: 10.1016/j.jcomm.2023.100364

Alankrita Goswami , Berna Karali , Michael K. Adjemian

{"title":"Hedging with futures during nonconvergence in commodity markets","authors":"Alankrita Goswami , Berna Karali , Michael K. Adjemian","doi":"10.1016/j.jcomm.2023.100364","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100364","url":null,"abstract":"<div><p>Hedging in grain futures markets offers market participants the opportunity to mitigate the price risk in spot markets by taking offsetting positions in futures. The performance of a traditional minimum variance hedge ratio (MVHR) relies on the correlation between the spot and futures price changes. During 2005–2010, delivery-location cash prices for several crops decoupled from the prices for their related expiring futures contracts—raising concerns over the hedging effectiveness of these contracts. We investigate how short hedgers, like farmers, performed during periods with and without convergence in corn, soybean, and wheat markets. We show that, <em>ex post</em>, MVHR, often does not minimize the variance of wheat producers’ profits during nonconvergence when compared to a range of other hedging choices. We also find that the performance of MVHR weakens during years with low carryover. We further assess hedging performance of MVHR and other hedge ratios in achieving higher net selling prices, and find that nonconvergence particularly impairs their performance in the wheat market where the nonconvergence anomaly was the most prominent. Taken together, our results raise questions on the role of futures markets as risk management tools during nonconvergence episodes regardless of how the hedge ratio is chosen.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100364"},"PeriodicalIF":4.2,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880677","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 evolution of commodity market financialization: Implications for portfolio diversification 商品市场金融化的演变:对投资组合多样化的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-21 DOI: 10.1016/j.jcomm.2023.100360

Renée Fry-McKibbin, Kate McKinnon

引用次数: 0

The Fortune and crash of common risk factors in Chinese commodity markets 中国大宗商品市场常见风险因素的兴衰

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100362

Hemei Li , Zhenya Liu , Yuqian Zhao

引用次数: 0

Exploring volatility of crude oil intraday return curves: A functional GARCH-X model 探讨原油日内收益曲线的波动性:一个函数GARCH-X模型

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100361

Gregory Rice , Tony Wirjanto , Yuqian Zhao

{"title":"Exploring volatility of crude oil intraday return curves: A functional GARCH-X model","authors":"Gregory Rice , Tony Wirjanto , Yuqian Zhao","doi":"10.1016/j.jcomm.2023.100361","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100361","url":null,"abstract":"<div><p>Crude oil intraday return curves collected from commodity futures markets often appear to be serially uncorrelated and long-range conditionally heteroscedastic. We model this stylised feature with a newly proposed functional GARCH-X model and use it to forecast crude oil intraday volatility. The predicted intraday volatility provides important economic implications in crude oil commodity futures markets in both intraday risk management and utility benefits improvements. The functional GARCH-X model provides a remarkable correction to modelling crude oil volatility in terms of an in-sample fitting, although its out-of-sample performances in forecasting intraday risk measures do not appear to be significantly superior to that of the existing functional GARCH(1,1) model. However, the FGARCH-X model, with its flexibility to capture long-range dependence and potential seasonality, does confer substantial economic benefits by embedding inter-daily volatility forecasts. Methodologically, we show that the new model has a well-behaved stationary solution, and we also address the inherent and critical issues associated with the estimation of functional volatility models by introducing novel data-driven, non-negative and predictive basis functions in the estimation process.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100361"},"PeriodicalIF":4.2,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880682","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: 3