企业商品敞口：多国纵向研究

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-06-01 DOI:10.1016/j.jcomm.2023.100329

Xu Han , Elaine Laing , Brian M. Lucey , Samuel Vigne

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引用次数: 0

摘要

本文进行了一项大规模的多国纵向研究，考察了23个经合组织国家的企业面临商品价格风险的程度。一项行业分析显示，除能源行业外，所有行业都面临着8%至10%的大宗商品价格波动，其中38%的公司面临着重大风险。在考察商品价格敞口的决定因素时，我们发现企业规模与商品敞口呈负相关，而R&；D支出、杠杆率、国家GDP和金融衍生品市场的成熟度和商品价格敞口呈正相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Corporate commodity exposure: A multi-country longitudinal study

This paper conducts a large-scale multi-country longitudinal study and examines the extent that firms are exposed to commodity price risk in 23 OECD countries. An industry analysis reveals that all industries are significantly exposed to commodity price movements ranging between 8 and 10% except for the energy sector where 38% of firms being significantly exposed. Investigating the determinants of commodity price exposure, we report that firm size is negatively associated with commodity exposure, while the fraction of R&D expenses, leverage, country GDP, and sophistication of the financial derivatives markets are positively related to commodity price exposure.

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.