Journal of Commodity Markets最新文献_第8页

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100345

Karl Larsson

{"title":"Parametric heat wave insurance","authors":"Karl Larsson","doi":"10.1016/j.jcomm.2023.100345","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100345","url":null,"abstract":"<div><p>This paper proposes a flexible framework for structuring and pricing parametric heat wave insurance. The framework is based on a general heat wave definition formulated in terms of an underlying temperature index. The definition can be varied in terms of the heat wave duration, intensity, measurement period and underlying index. This construction makes it straightforward to create contracts tailored to insure against heat events of many different types. A single stochastic model for the underlying index can be used to price all contracts. We consider contracts with payments that depend on the number of heat waves of a certain type occurring in the measurement period and derive the necessary pricing relations based on a general model structure encompassing several popular temperature models in the literature. An empirical case study is performed using data for Berlin where the daily maximum temperature is used as the underlying index. Model implied heat wave probabilities are consistent with historical patterns, point to high likelihoods for short duration heat events of different threshold temperatures and non-negligible risks for future heat waves of extreme temperatures and durations never before observed.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100345"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863224","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

Commodity futures return predictability and intertemporal asset pricing 商品期货回报可预测性和跨期资产定价

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100289

John Cotter , Emmanuel Eyiah-Donkor , Valerio Potì

{"title":"Commodity futures return predictability and intertemporal asset pricing","authors":"John Cotter , Emmanuel Eyiah-Donkor , Valerio Potì","doi":"10.1016/j.jcomm.2022.100289","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100289","url":null,"abstract":"<div><p><span>We find out-of-sample predictability of commodity futures excess returns using combination forecasts of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean–variance investor. Commodity return forecasts are closely linked to the real economy. Return predictability is countercyclical, and the combination forecasts of commodity returns have significant predictive power for future economic activity. Two-factor models featuring the market factor and the innovations in each of the combination forecasts explain a substantial proportion of the cross-sectional variation of both commodity and equity returns. The associated positive risk premiums are consistent with </span><span>Merton</span>’s (<span>1973</span><span><span>) intertemporal capital asset pricing model (ICAPM), given how the combination forecasts predict an increase in future economic activity and a decline in stock market volatility in the time-series. Overall, combination forecasts act as state variables within the ICAPM, thus resurrecting a central role for </span>macroeconomic risk in determining expected returns on commodities.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100289"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863229","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

Logistics competition between the U.S. and Brazil for soybean shipments to China: An optimized Monte Carlo simulation approach 美国和巴西对中国大豆运输的物流竞争：一种优化的蒙特卡罗模拟方法

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100290

Gwen Kamrud , William W. Wilson , David W. Bullock

引用次数: 0

Oil–gas price relationships on three continents: Disruptions and equilibria 三大洲的油气价格关系:中断与平衡

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100347

Christoph Halser , Florentina Paraschiv , Marianna Russo

{"title":"Oil–gas price relationships on three continents: Disruptions and equilibria","authors":"Christoph Halser , Florentina Paraschiv , Marianna Russo","doi":"10.1016/j.jcomm.2023.100347","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100347","url":null,"abstract":"<div><p>In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan<span> between 2009 and 2021. The results suggest a stronger oil–gas link for all investigated markets after 2019, significantly impacted by fundamental supply and demand factors. However, the strength<span> of the equilibria link differs across markets due to different price formation processes under the impact of the COVID-19 pandemic and the Ukraine war. For Japanese LNG<span> prices, our results imply an enduring impact of oil-price indexation with a tight link to monthly crude prices. TTF and monthly oil prices enter a temporary equilibrium in times of high market volatility, whereby the long-term equilibrium dissipates. Despite the absence of oil indexation in the North American market, we find evidence of re-coupling of oil and gas prices given the demand shock of the COVID-19 pandemic. These findings are relevant to policy makers to assess market inefficiencies caused by the European gas crisis.</span></span></span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100347"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863230","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

Do spot market auction data help price discovery? 现货市场拍卖数据有助于价格发现吗？

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100335

Adrian Fernandez-Perez , Joëlle Miffre , Tilman Schoen , Ayesha Scott

引用次数: 0

The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models 高矩在预测中国石油期货波动中的作用:来自机器学习模型的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-08-25 DOI: 10.1016/j.jcomm.2023.100352

Hongwei Zhang , Xinyi Zhao , Wang Gao , Zibo Niu

{"title":"The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models","authors":"Hongwei Zhang , Xinyi Zhao , Wang Gao , Zibo Niu","doi":"10.1016/j.jcomm.2023.100352","DOIUrl":"10.1016/j.jcomm.2023.100352","url":null,"abstract":"<div><p><span>This paper expands the emerging literature on volatility forecasting for China's oil market by exploring the predictive ability<span><span> of higher-order moments (skewness, kurtosis, hyperskewness, and hyperkurtosis) based on high-frequency data. Our investigation is originally based on the heterogeneous autoregressive (HAR) framework, but considering the possible multicollinearity and nonlinearity, it is extended to various machine learning (ML) models and combination </span>forecasting models. The results reveal that higher-order moments, including the two highest moments, always significantly improve predictive performance for the COVID-19 crisis. We further examine the interpretability of ML models and each factor's contribution to the prediction, finding that odd and even moments contain short- and long-term prediction information, respectively. This paper also highlights the effectiveness of ML models for capturing trends in oil futures volatility with higher-order moments and the satisfactory performance of combination forecasting models. Finally, we investigate the predictability of asymmetric </span></span>risk patterns and<span> obtain identical results. Our study has important implications for financial risk management, asset pricing, and portfolio allocation.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100352"},"PeriodicalIF":4.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88749768","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

Estimation of value at risk for copper 估计铜的风险价值

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-08-18 DOI: 10.1016/j.jcomm.2023.100351

Konstantinos Gkillas , Christoforos Konstantatos , Spyros Papathanasiou , Mark Wohar

引用次数: 0

A Bayesian perspective on commodity style integration 商品风格整合的贝叶斯视角

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100328

Ana-Maria Fuertes , Nan Zhao

引用次数: 0

Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective 全球石油市场的时频依赖性和连通性：来自高阶矩视角的新证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100323

Jinxin Cui , Aktham Maghyereh

{"title":"Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2023.100323","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100323","url":null,"abstract":"<div><p>Investigating the dependence and connectedness among global oil markets is of great significance for cross-market investors and regulators. However, most of the existing studies are confined to lower-order moments and the time domain. This paper is the first to examine the time-frequency dependence and connectedness among global oil markets from the higher-order moment perspective by applying the wavelet coherence method and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach. The empirical results demonstrate that higher-order moment dependence among oil markets is weaker than return and volatility dependence. In general, Dubai, Minas, and Tapis oil exhibit relatively higher wavelet coherence with Daqing oil at all moments. The lead-lag relationships are heterogeneous during most sample intervals. The total return and volatility connectedness indices are higher than the skewness and kurtosis. The return connectedness mainly occurs in the short term (1–5 days) whereas the volatility, skewness, and kurtosis connectedness occur in the long run (22-Inf days). West Texas Intermediate oil dominates the return, volatility, and skewness connectedness network while Dubai oil dominates the kurtosis connectedness network. Furthermore, the dynamic total, net, and net-pairwise connectedness indices are all time-varying and event-dependent with the higher-order moment connectedness illustrating more volatile features. Several practical implications are provided for various market agents.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100323"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197071","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: 4

Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy 全球流动性和商品市场冲击对出口商品的发展中经济体的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100332

Gan-Ochir Doojav, Davaajargal Luvsannyam, Elbegjargal Enkh-Amgalan

引用次数: 0