Yousef Makhlouf , Neil M. Kellard , Dmitri Vinogradov
{"title":"What moves commodity terms-of-trade? Evidence from 178 countries","authors":"Yousef Makhlouf , Neil M. Kellard , Dmitri Vinogradov","doi":"10.1016/j.jcomm.2023.100359","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100359","url":null,"abstract":"<div><p>Despite the important impact of commodity terms-of-trade (CTOT) on GDP growth, child mortality rates and public debt, little is known about its determinants. Using data from 178 countries (grouped according to their commodity export-import structure) over the period 1962 to 2020, we examine the short-and long-run effects of global economic activity, OECD and emerging markets growth, the exchange rate of U.S. dollar, stock price volatility and real interest rates on CTOT growth. We demonstrate their typical asymmetric effect on exporters and importers, and show, for example, that the exchange rate of the U.S. dollar also exhibits opposite effects over the short and long run due to inelastic commodity demand. We find that the growth of emerging market economies provides the most universal and consistent effect across all of our subsamples (i.e., energy and non-energy exporters and importers) - this latter point underscores the contemporary global importance of developing countries' growth.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100359"},"PeriodicalIF":4.2,"publicationDate":"2023-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880681","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":"Psychological price barriers, El Niño, La Niña: New insights for the case of coffee","authors":"Mark J. Holmes , Jesús Otero","doi":"10.1016/j.jcomm.2023.100350","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100350","url":null,"abstract":"<div><p>This paper investigates the possibility of psychological barriers in the price dynamics of seven types of coffee varieties over a twenty-year period. When prices are expressed in hundreds of cents, barriers surrounding the round number prices ending in 00 are confirmed for the high quality coffees. The dynamics of coffee price returns differ before and after breaches of hypothesised barriers. Using a novel model selection method based on multiple testing, there is further confirmation of price barriers insofar as positive and negative climate anomalies affect coffee price proximity to barriers.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100350"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202672","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":"Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?","authors":"Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen","doi":"10.1016/j.jcomm.2023.100348","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100348","url":null,"abstract":"<div><p>The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100348"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863228","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":"Carr and Wu’s (2020) framework in the oil ETF option market","authors":"Xiaolan Jia , Xinfeng Ruan , Jin E. Zhang","doi":"10.1016/j.jcomm.2023.100334","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100334","url":null,"abstract":"<div><p>This paper studies the information inferred from the Carr and Wu’s (2020) formula based on a new option pricing framework in the United States Oil Fund (USO) options. We first document the term structure and dynamics of the risk-neutral variance and covariance rates which lead to a “U”-shaped implied volatility smile with a positive curvature. We then investigate the return predictability of the innovations in the risk-neutral variance and covariance rates (<span><math><mrow><mi>D</mi><mi>R</mi><mi>N</mi><mi>V</mi></mrow></math></span> and <span><math><mrow><mi>D</mi><mi>R</mi><mi>N</mi><mi>C</mi></mrow></math></span>) and their term structures (<span><math><mrow><mi>T</mi><mi>R</mi><mi>N</mi><mi>V</mi></mrow></math></span> and <span><math><mrow><mi>T</mi><mi>R</mi><mi>N</mi><mi>C</mi></mrow></math></span>) and find that <span><math><mrow><mi>D</mi><mi>R</mi><mi>N</mi><mi>C</mi></mrow></math></span> is a significant and robust predictor to forecast daily, weekly and monthly USO excess returns in both statistical and economic terms based on in-sample and out-of-sample tests.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100334"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863222","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":"Trading time seasonality in electricity futures","authors":"Ståle Størdal , Christian-Oliver Ewald , Gudbrand Lien , Erik Haugom","doi":"10.1016/j.jcomm.2022.100291","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100291","url":null,"abstract":"<div><p>Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed for varying maturities. This type of seasonality is linked to the pricing kernel which in turn accounts for seasonal changes in preferences of agents and tied to risk aversion and thus the demand for hedging. In the present study we empirically examine trading time seasonality in yearly Nordic and German electricity futures contracts. Visual inspection of both average monthly futures prices and the futures backward curves provides strong indications of futures prices systematically varying over the trading year. On average both Nordic and German futures prices are lowest in first quarter and highest in third quarter trading months. This is confirmed by statistical tests of stochastic dominance. Exploiting this insight in a simple trading strategy induces positive and significant alphas in the sense of the capital asset pricing model. We relate the findings to potential seasonal risk preferences and hedging pressure in the electricity futures market.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100291"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863226","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":"Equilibrium and real options in the ethanol industry: Modeling and empirical evidence","authors":"Matt Davison , Nicolas Merener","doi":"10.1016/j.jcomm.2022.100292","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100292","url":null,"abstract":"<div><p>In the last twenty years a large number of ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at or beyond the mandate set by the government. We propose an equilibrium model for blenders and producers that accounts for government measures and for real optionality embedded in the industry<span>. The model, driven by corn and gasoline prices, leads to analytical expressions for the price and output of ethanol, and to policy implications on the impacts of the mandate and blend credit. The model also leads to closed form valuation for an ethanol producer. Using data between 2000 and 2017 we confirm that, as in the model, ethanol was largely priced as the maximum of rescaled gasoline and corn prices. Historical output levels between the mandate and installed capacity were explained by our theory. Finally, the share price dynamics for the largest public ethanol producer in the US was consistent in some aspects with the value of a real option.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100292"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863227","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":"Wheat price volatility regimes over 140 years: An analysis of daily price ranges","authors":"Marco Haase , Heinz Zimmermann , Matthias Huss","doi":"10.1016/j.jcomm.2023.100346","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100346","url":null,"abstract":"<div><p>We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that volatility shifts between regimes are statistically more pronounced than fluctuations within regimes, even when conditioning on economic states. Historical volatility estimates derived from average commodity price data, a common practice in empirical studies, exhibit a regime-dependent upward bias between 0% and 22%. The magnitude of the bias and the importance of regimes potentially explain contradictory findings on volatility patterns in earlier studies.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100346"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863231","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":"Gold risk premium estimation with machine learning methods","authors":"Juan D. Díaz , Erwin Hansen , Gabriel Cabrera","doi":"10.1016/j.jcomm.2022.100293","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100293","url":null,"abstract":"<div><p><span>This paper assesses the accuracy of several machine learning models’ predictions of the gold risk premium when using an extensive set of 186 predictors. We perform an out-of-sample evaluation and consider both statistical and portfolio metrics. Our results show that machine learning methods and forecast combinations have a limited ability to outperform the historical mean when predicting the gold risk premium. Slightly better results are obtained when predictors are used individually. More specifically, we find that several technical indicators (moving average and momentum series) have forecasting power during periods of expansion, while several business cycle variables and </span>geopolitical risk variables help predict the gold risk premium during recessions. An economic evaluation accounting for transaction costs shows that investors using machine learning methods to estimate expected returns on gold should anticipate limited portfolio gains.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100293"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202670","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}
Martin T. Bohl , Scott H. Irwin , Alexander Pütz , Christoph Sulewski
{"title":"The impact of financialization on the efficiency of commodity futures markets","authors":"Martin T. Bohl , Scott H. Irwin , Alexander Pütz , Christoph Sulewski","doi":"10.1016/j.jcomm.2023.100330","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100330","url":null,"abstract":"<div><p><span>The pronounced inflow of financial capital from index investors over the last 15 years and the accompanying substantial fluctuations in commodity futures markets have aroused public and academic interest. A common accusation made in this context is that commodity index traders (CITs) negatively influence the quality of commodity futures markets and keep them far from fundamentally justified price levels. In this paper, we focus on quantifying </span>market efficiency<span><span>, and investigate empirically the suggested effect of CITs over the period from 1999 to 2019 for 34 commodity futures markets. In contrast to recent studies, we find empirical evidence that the financialization positively affected the market efficiency of indexed commodity futures markets. Consistently, we observe that the degree of commodity index trader activity is associated with higher degrees of </span>informational efficiency.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100330"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202674","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}
Shamar L. Stewart , Olga Isengildina Massa , Colburn Hassman , Maximo de Leon
{"title":"ETP tracking of U.S. agricultural and energy markets","authors":"Shamar L. Stewart , Olga Isengildina Massa , Colburn Hassman , Maximo de Leon","doi":"10.1016/j.jcomm.2023.100344","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100344","url":null,"abstract":"<div><p>This study assesses the tracking performance of several futures-backed commodity exchange-traded funds (ETFs), single commodity exchange-traded notes (ETNs), and commodity sector ETNs relevant to agricultural market participants. We decompose total tracking errors into managerial and arbitrage components. Our findings reveal that the arbitrage process is the primary driver of observed tracking errors. ETNs tend to exhibit much larger tracking errors than ETFs. The tracking performance was not substantially different across agricultural and energy ETFs nor across single commodity and commodity sector ETNs. Using a GARCH model, the study reveals greater persistence of tracking errors for ETNs than ETFs. Roll dates do not significantly affect the volatility of tracking errors. On the other hand, trading volume, lagged ETF price volatility, and broad market volatility may result in poorer ETF tracking performance.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100344"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202675","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}