Journal of Commodity Markets最新文献_第9页

The asymmetric impact of global economic policy uncertainty on international grain prices 全球经济政策不确定性对国际粮食价格的不对称影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100273

Shaobo Long , Jieyu Li , Tianyuan Luo

引用次数: 0

Information effects of monetary policy announcements on oil price 货币政策公告对油价的信息效应

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100268

Yang Yang , Jiqiang Zhang , Sanpan Chen

引用次数: 0

Realized higher-order moments spillovers between commodity and stock markets: Evidence from China 商品市场和股票市场之间已实现的高阶矩溢出：来自中国的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100275

Hongwei Zhang , Chen Jin , Elie Bouri , Wang Gao , Yahua Xu

{"title":"Realized higher-order moments spillovers between commodity and stock markets: Evidence from China","authors":"Hongwei Zhang , Chen Jin , Elie Bouri , Wang Gao , Yahua Xu","doi":"10.1016/j.jcomm.2022.100275","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100275","url":null,"abstract":"<div><p><span>We construct daily realized volatility, skewness, and kurtosis<span> using 5-min data of eight Chinese commodity futures and the Chinese stock market index from March 26, 2018 to October 22, 2020, then analyse the dynamic spillovers of realized moments among these markets. The results show that the spillover effects between commodity and stock markets intensify during shock periods such as ‘trade disputes between China and the United States’ and ‘COVID-19’. Volatility spillovers are relatively stronger than spillovers in skewness or spillovers in kurtosis; however, spillovers in higher-order moments seem to contain additional information. Shocks from the </span></span>silver<span><span> market influence realized moments of other markets. Soybean, corn, aluminium, and oil markets are affected by other markets. The contribution of wheat as a net transmitter to the system of spillovers between stock and commodity markets is only observed at higher-order realized moments. The results from OLS and </span>quantile regressions show that the total spillovers are generally affected by the US stock market, economic uncertainties, and the COVID-19 outbreak.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100275"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197080","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: 20

The economic impact of daily volatility persistence on energy markets 每日波动持续性对能源市场的经济影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100285

Christina Sklibosios Nikitopoulos, Alice Carole Thomas, Jianxin Wang

{"title":"The economic impact of daily volatility persistence on energy markets","authors":"Christina Sklibosios Nikitopoulos, Alice Carole Thomas, Jianxin Wang","doi":"10.1016/j.jcomm.2022.100285","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100285","url":null,"abstract":"<div><p>This study examines the role of daily volatility persistence in transmitting information from macro-economy in the volatility of energy markets. In crude oil and natural gas markets<span>, macro-economic factors, such as the VIX, the credit spread and the Baltic exchange dirty index, impact volatility, and this impact is channeled via the volatility persistence. Further, the impact of returns and variances is primarily transmitted to volatility via the daily volatility persistence. The dependence of volatility persistence on market and macro-economic conditions is termed conditional volatility persistence (CVP). The variation in daily CVP is economically significant, contributing up to 18% of future volatility and accounting for 29% of the model's explanatory power. Inclusion of the CVP in the model significantly improves volatility forecasts. Based on the utility benefits of volatility forecasts, the CVP adjusted volatility models provide up to 160 bps benefit to investors compared to the HAR models, even after accounting for transaction costs and varying trading speeds.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100285"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197083","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: 2

Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures 贵金属和石油实现的波动性之间的动态溢出：来自分位数扩展的联合连通性度量的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100327

Juncal Cunado , Ioannis Chatziantoniou , David Gabauer , Fernando Perez de Gracia , Marfatia Hardik

引用次数: 0

Revisiting the Silver Crisis 重温白银危机

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100288

Don Bredin , Valerio Potì , Enrique Salvador

引用次数: 0

Quantifying impacts of competition and demand on the risk for fertilizer plant locations 量化竞争和需求对化肥厂选址风险的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100326

William W. Wilson , Sumadhur Shakya

{"title":"Quantifying impacts of competition and demand on the risk for fertilizer plant locations","authors":"William W. Wilson , Sumadhur Shakya","doi":"10.1016/j.jcomm.2023.100326","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100326","url":null,"abstract":"<div><p>Fertilizer is an essential commodity traded in international and domestic markets and spatial competition is important feature impacting interfirm rivalry. In the case of North American fertilizer, numerous plants have been announced to either expand or open new plants (nitrogen-based fertilizer plants), exerting competitive pressures on an industry with surplus capacity but highly competitive in terms of production costs and technology. Proposed new plants and expansions are being induced by changes in the composition of crops, changes in the price of natural gas which affects the cost of producing domestic anhydrous ammonia. Developments in the fertilizer industry have become more volatile in the post-COVID period, and concurrent with the escalation in fuel prices, the Ukraine invasion, related embargoes on Russian trade, the world's largest exporter, and operations of the Grain Corridor. The purpose of this study is to quantify risks for plant expansion (brownfield and greenfield) of nitrogen fertilizer plants in North America, given the spatial competition and the corresponding dynamic market boundaries. Specifically, we quantify risks associated with fertilizer plant expansions, identify the optimal locations of new plants, and characterize spatial competition as a result of new entrants. A model is specified that integrates Geographical Information Systems (GIS) data into a stochastic mixed-integer network spatial optimization model using Monte Carlo simulations to account for risk in the random variables. The results are reprocessed into GIS for interpretation. The impact of risk in these variables results in market boundaries that are random. Specifically, competition for these new plants has embedded risks for new entrants on the probability of production and market penetration.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100326"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197126","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

Composite jet fuel cross-hedging 复合喷气燃料交叉套期保值

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100271

Min Cao, Thomas Conlon

引用次数: 1

The CO2 cost pass-through in nonlinear emission trading schemes 非线性排放交易方案中的二氧化碳成本传递

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100286

Zhe Chen , Yan-ling Chen , Yue Su , Xue-ying Wang , You Wu

{"title":"The CO2 cost pass-through in nonlinear emission trading schemes","authors":"Zhe Chen , Yan-ling Chen , Yue Su , Xue-ying Wang , You Wu","doi":"10.1016/j.jcomm.2022.100286","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100286","url":null,"abstract":"<div><p>In this paper, we theoretically study the issues that how nonlinear structures of energy market affect <span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span><span> costs of energy firms being passed through to energy prices in emission trading schemes<span>. We set up oligopoly models to investigate </span></span><span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span> cost pass-through under different emission right allocations, characterize analytic derivations of <span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span> cost pass-through rates and then explore the connections between <span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span> pass-through rates and nonlinear market structures. Our findings suggest that the <span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span> cost pass-though rates are not only dependent on the elasticities of energy demand and supply, but largely determined by the convexity of demand curve and the competition intensity of energy market. More importantly, an economic curiosity (<span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span> cost pass-through overshifting) is also observed in the emission trading schemes under suitable market conditions. The existence of <span><math><mrow><mi>C</mi><msub><mi>O</mi><mn>2</mn></msub></mrow></math></span><span> cost pass-through overshifting provides regulators and policy makers important information that the emission trading schemes are at the risk of imperfect competition and may require further policy adjustments.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100286"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197084","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

Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model 预测美国玉米季节平均农场价格：基于替代期货的预测模型的推导

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100333

Xiaoli L. Etienne , Sara Farhangdoost , Linwood A. Hoffman , Brian D. Adam

引用次数: 0