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Wheat price volatility regimes over 140 years: An analysis of daily price ranges 140年来小麦价格波动机制:每日价格波动范围分析
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100346
Marco Haase , Heinz Zimmermann , Matthias Huss
{"title":"Wheat price volatility regimes over 140 years: An analysis of daily price ranges","authors":"Marco Haase ,&nbsp;Heinz Zimmermann ,&nbsp;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}
引用次数: 0
Gold risk premium estimation with machine learning methods 基于机器学习方法的黄金风险溢价估计
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100293
Juan D. Díaz , Erwin Hansen , Gabriel Cabrera
{"title":"Gold risk premium estimation with machine learning methods","authors":"Juan D. Díaz ,&nbsp;Erwin Hansen ,&nbsp;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}
引用次数: 0
The impact of financialization on the efficiency of commodity futures markets 金融化对商品期货市场效率的影响
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100330
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 ,&nbsp;Scott H. Irwin ,&nbsp;Alexander Pütz ,&nbsp;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}
引用次数: 1
ETP tracking of U.S. agricultural and energy markets ETP对美国农业和能源市场的跟踪
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100344
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 ,&nbsp;Olga Isengildina Massa ,&nbsp;Colburn Hassman ,&nbsp;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}
引用次数: 1
Determinants and dynamic interactions of trader positions in the gold futures market 黄金期货市场中交易者头寸的决定因素和动态相互作用
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100343
Yu-Lun Chen, Wan-Shin Mo
{"title":"Determinants and dynamic interactions of trader positions in the gold futures market","authors":"Yu-Lun Chen,&nbsp;Wan-Shin Mo","doi":"10.1016/j.jcomm.2023.100343","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100343","url":null,"abstract":"<div><p>We investigate the determinants of different traders’ trading positions in the gold futures market. With a threshold value determined endogenously by our model, we find that when the gold futures price falls below the threshold, money managers adopt positive feedback trading strategies while swap dealers adopt negative feedback trading strategies. When the futures price rises above the threshold, money managers turn to negative feedback trading and swap dealers reduce the intensity of their negative feedback. In addition, money managers and swap dealers play the transmitter role in trading spillovers to other traders, and their trading transmitter role weakens during periods with high gold prices.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100343"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863223","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
Explaining intraday crude oil returns with higher order risk-neutral moments 解释高阶风险中性时刻的原油盘中回报
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100331
Patrick Wong
{"title":"Explaining intraday crude oil returns with higher order risk-neutral moments","authors":"Patrick Wong","doi":"10.1016/j.jcomm.2023.100331","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100331","url":null,"abstract":"<div><p>High frequency crude oil option data is used to extract the higher order risk-neutral moments from the crude oil market. These risk-neutral moments include the variance, third central moment and the recently developed tail risk variation measures. We find it is beneficial to disaggregate these risk-neutral moments into their semi-moments, and to work with their log differences instead of the level. The log differences of the second and third semi-moments, and to a lesser extent, the log differences of the tail risk measures, are found to explain returns in the crude oil and S&amp;P 500 futures at high frequency. We also provide evidence that the efficient market hypothesis holds at high frequency in these markets.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100331"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863225","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
A review of the literature on LNG: Hubs development, market integration, and price discovery 液化天然气文献综述：枢纽开发、市场整合和价格发现
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100349
Yuri Hupka , Ivilina Popova , Betty Simkins , Thomas Lee
{"title":"A review of the literature on LNG: Hubs development, market integration, and price discovery","authors":"Yuri Hupka ,&nbsp;Ivilina Popova ,&nbsp;Betty Simkins ,&nbsp;Thomas Lee","doi":"10.1016/j.jcomm.2023.100349","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100349","url":null,"abstract":"<div><p>This study provides a literature review of academic research related to liquefied natural gas<span> (LNG) hubs development and market integration. Studies show that Asian markets lack a transparent pricing benchmark which exists in North American and European markets. As a result, the formation of functional LNG market hubs in the Asia Pacific region will take time. Early research evidence suggests a strongly cointegrated relationship between LNG and crude oil. Concurring with more recent findings, we confirm that LNG's statistical relationship to both WTI and Brent ceases after the break dates of August 2008 and October 2015, respectively. Multiple initiatives are underway to facilitate development and price discovery for global LNG markets. However, the conclusions found within prior literature are dependent upon the sophistication of the estimation model and sample ranges employed.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100349"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202673","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
Parametric heat wave insurance 参数热浪保险
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 ,&nbsp;Emmanuel Eyiah-Donkor ,&nbsp;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
{"title":"Logistics competition between the U.S. and Brazil for soybean shipments to China: An optimized Monte Carlo simulation approach","authors":"Gwen Kamrud ,&nbsp;William W. Wilson ,&nbsp;David W. Bullock","doi":"10.1016/j.jcomm.2022.100290","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100290","url":null,"abstract":"<div><p>The United States and Brazil<span> fiercely compete with each other in the Chinese soybean import market. Logistical functions and costs are volatile and risky and influence the export competition between the two countries. This study analyzes commodity trading strategies and the effect of logistical functions and costs in the United States and Brazil for shipments to China using an Optimized Monte Carlo Simulation model accounting for a large number of random and correlated variables. Base case results approximate the actual monthly data between 2013 and 2019. These results indicate that the United States captures a larger share of soybean export shipments between December and March while Brazil is dominant from April to November. Sensitivity analyses were performed on logistical variables in the United States (ocean shipping costs, U.S. secondary rail car market, and rail unload incentives) and Brazil (improving logistical infrastructure and wait times) to illustrate their impacts on optimal trading strategies.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100290"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202671","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
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