Journal of Commodity Markets最新文献

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Renewable sources and short-to-mid-term electricity price forecasting 可再生能源与中短期电价预测

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2026-01-23 DOI: 10.1016/j.jcomm.2026.100541

Niaz Bashiri Behmiri , Carlo Fezzi , Francesco Ravazzolo

This study examines short-to mid-term point forecasting of daily electricity prices, with particular emphasis on the role of renewable energy sources. We use data from the market zone corresponding to the Northern region of Italy, applying both time series and machine learning methodologies. The forecasts are evaluated for two individual years, 2019 and 2024. In 2019, traditional energy variables such as electricity load, natural gas prices, and imports, were the primary drivers of forecast accuracy. During this period, adding renewable energy production data offered negligible benefits, with solar and wind contributing only marginally. By contrast, in 2024, market volatility increased greatly due to geopolitical conflicts and increased renewable energy integration. Under these conditions, while solar and wind still added limited value, hydropower improved forecast accuracy substantially. The results suggest that the role of renewable energy sources in electricity price forecasting is growing. However, their predictive power is influenced by their market share and by their variability and predictability.

本研究探讨每日电价的中短期点预测，特别强调可再生能源的作用。我们使用来自意大利北部地区对应的市场区域的数据，应用时间序列和机器学习方法。这些预测是对2019年和2024年这两个单独年份进行评估的。2019年，电力负荷、天然气价格和进口等传统能源变量是预测准确性的主要驱动因素。在此期间，增加可再生能源生产数据带来的好处微不足道，太阳能和风能的贡献微乎其微。相比之下，2024年，由于地缘政治冲突和可再生能源整合的增加，市场波动性大大增加。在这些条件下，虽然太阳能和风能的附加值仍然有限，但水力发电大大提高了预测精度。结果表明，可再生能源在电价预测中的作用越来越大。然而，它们的预测能力受到它们的市场份额以及它们的可变性和可预测性的影响。

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引用次数: 0

Does climate policy uncertainty impact gold-mining stock returns? International evidence 气候政策的不确定性会影响金矿股的回报吗？国际证据

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2026-01-10 DOI: 10.1016/j.jcomm.2026.100539

Carlos P. Maquieira , Boris Pastén-Henríquez

This research analyzes the association between gold-mining stock returns and climate policy uncertainty (CPU) and examines whether CPU moderates the relationship between gold returns and gold-mining stock returns. Using monthly data for 68 gold-mining companies from nine countries over the period 2011–2022, we report that CPU exerts a significant and adverse effect on gold-mining stock returns, diminishing the positive impact of gold returns on gold stock performance. In contrast, Global Economic Policy Uncertainty (GEPU), Monetary Policy Uncertainty (MPU), and Fiscal Policy Uncertainty (FPU) are positively associated with gold-mining stock returns and strengthen the relationship between gold returns and mining stock performance, whereas Local Economic Policy Uncertainty (LEPU) does not exhibit a significant association. The results remain robust after correcting for endogeneity using an instrumental variable approach. Extending the analysis to energy transition metals, including copper, lithium, nickel, and cobalt, we find that climate policy uncertainty is positively associated with stock returns in these sectors and depending on time windows we find a negative impact of CPU on the link between metal returns and metal-stock returns.

本文分析了气候政策不确定性（CPU）与金矿股收益之间的关系，并考察了CPU是否调节了黄金收益与金矿股收益之间的关系。利用2011-2022年9个国家68家金矿公司的月度数据，我们报告了CPU对金矿股收益的显著不利影响，削弱了黄金收益对黄金股绩效的积极影响。相反，全球经济政策不确定性（GEPU）、货币政策不确定性（MPU）和财政政策不确定性（FPU）与金矿股收益呈正相关，并强化了黄金收益与矿业股绩效的关系，而地方经济政策不确定性（LEPU）不表现出显著的关联。使用工具变量方法校正内生性后，结果仍然稳健。将分析扩展到能源过渡金属，包括铜、锂、镍和钴，我们发现气候政策的不确定性与这些行业的股票回报呈正相关，并且根据时间窗口，我们发现CPU对金属回报和金属-股票回报之间的联系产生了负面影响。

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引用次数: 0

Intraday market momentum in coffee futures: Dynamics and drivers 咖啡期货的盘中市场动量：动态和驱动因素

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-12-04 DOI: 10.1016/j.jcomm.2025.100537

Anabelle Couleau , Andres Trujillo-Barrera , Xiaoli Etienne

The Coffee ‘C’ futures contract traded on the InterContinental Exchange is recognized as the global benchmark for coffee pricing. Using high-frequency tick data from January 2010 to November 2021, we document the presence and drivers of intraday market momentum for the Coffee ‘C’ futures contract. Intraday market momentum is time-varying and emerges primarily during periods of elevated volatility and concentrated in the upper tails of the return distribution. Persistence tests indicate that early-day momentum linked to overnight and morning returns tends to carry over across days, consistent with gradual information incorporation and the late-informed trading hypothesis, while late-day momentum dissipates quickly, reflecting portfolio rebalancing and hedging pressures. Regression evidence suggests that stronger intraday momentum tend to coincide with faster quoting activity, greater opening liquidity demand, and lower speculative participation.

在洲际交易所交易的咖啡“C”期货合约被认为是全球咖啡定价的基准。利用2010年1月至2021年11月的高频波动数据，我们记录了咖啡“C”期货合约盘中市场动量的存在和驱动因素。日内市场动量是时变的，主要出现在波动加剧的时期，集中在收益分布的上尾。持续性测试表明，与隔夜和上午回报相关的早盘势头往往会延续数天，这与逐步纳入信息和晚知交易假设相一致，而晚盘势头会迅速消散，反映出投资组合再平衡和对冲压力。回归证据表明，更强的盘中动量往往与更快的报价活动、更大的开盘流动性需求和更低的投机参与相吻合。

引用次数: 0

The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems 公众情绪对系统风险的影响：来自商品和股票市场系统的证据

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-12-02 DOI: 10.1016/j.jcomm.2025.100538

Jingjing Yan, Kun Wang, Pan Ma

Public climate sentiment plays a pivotal role in market systemic risk. This paper explores the impact of public climate sentiment on the systemic risk of the agricultural, energy, metal, and stock market systems. To achieve this goal, we develop an integrated WDTI-QVAR model that combines the weighted turbulence (WDTI) model and the quantile vector autoregressive (QVAR) spillover model to explore spillover effects and dynamic transmission mechanisms across varying risk conditions. The results show that under normal and high-risk conditions, public climate sentiment generally acts as a net risk receiver, whereas under extremely low-risk conditions, it shifts to a net risk transmitter. Public climate sentiment has asymmetric effects on the market system, particularly under extreme market conditions, with the agricultural system being the most sensitive. In addition, climate policy uncertainty plays a significant moderating role in the spillover effects among public climate sentiment and market system risk, especially under high-volatility conditions. By combining methodological innovation with practical insight, this study contributes to both systemic risk modeling and climate-finance policy design, offering an integrated framework for understanding how climate sentiment, conditioned by policy uncertainty, shapes systemic risk transmission across markets.

公众情绪在市场系统性风险中起着关键作用。本文探讨了公众气候情绪对农业、能源、金属和股票市场系统风险的影响。为了实现这一目标，我们开发了一个综合的WDTI-QVAR模型，该模型结合了加权湍流（WDTI）模型和分位数向量自回归（QVAR）溢出模型，以探索不同风险条件下的溢出效应和动态传递机制。结果表明，在正常和高风险条件下，公众气候情绪通常是净风险接受者，而在极低风险条件下，公众气候情绪则转变为净风险发射器。公众气候情绪对市场体系具有不对称影响，特别是在极端市场条件下，农业体系最为敏感。此外，气候政策不确定性在公众气候情绪和市场系统风险之间的溢出效应中起着显著的调节作用，特别是在高波动条件下。通过将方法创新与实践见解相结合，本研究为系统风险建模和气候融资政策设计做出了贡献，为理解受政策不确定性影响的气候情绪如何影响系统风险在市场中的传导提供了一个综合框架。

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引用次数: 0

Carbon pricing, commodity markets, and economic stability: Evidence from the EU ETS 碳定价、商品市场和经济稳定：来自欧盟排放交易体系的证据

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-11-26 DOI: 10.1016/j.jcomm.2025.100536

Kejia Yan , Boqiang Lin

This study investigates the dynamic spillover effects between European Union Allowance (EUA) futures and major commodity futures, including energy, agricultural products, and precious metals, across all four phases of the EU ETS. Using the quantile connectedness framework, we capture heterogeneous and asymmetric transmission mechanisms under different market regimes. The results show that EUA futures are predominantly net receivers of shocks from global commodity markets, reflecting their strong integration with energy and financial systems. Nevertheless, EUAs act as net transmitters to fossil fuels—particularly natural gas and coal—under specific conditions, while spillovers to wheat occur mainly in extreme positive markets, raising concerns over food affordability. These findings highlight that EUA prices within the 20 %–60 % quantile range are “reasonable,” effectively constraining fossil fuels without destabilising agricultural or precious metal markets. Overall, the study enriches carbon finance literature by extending connectedness methods to the EU ETS, demonstrating that carbon markets function not only as emission reduction instruments but also as key nodes in global commodity interdependence.

本研究探讨了欧盟排放权交易体系四个阶段中欧盟配额（EUA）期货与主要商品期货（包括能源、农产品和贵金属）之间的动态溢出效应。利用分位数连通性框架，我们捕获了不同市场制度下的异质和不对称传输机制。结果表明，EUA期货主要是全球商品市场冲击的净接受者，反映了其与能源和金融体系的强整合。然而，EUAs是化石燃料的净传播者，特别是在特定条件下的天然气和煤炭，而对小麦的溢出效应主要发生在极端积极的市场，引发了对粮食负担能力的担忧。这些发现强调，EUA价格在20% - 60%的分位数范围内是“合理的”，有效地限制了化石燃料，而不会破坏农业或贵金属市场的稳定。总体而言，该研究通过将连通性方法扩展到欧盟碳排放交易体系，丰富了碳金融文献，表明碳市场不仅是减排工具，而且是全球商品相互依存的关键节点。

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引用次数: 0

Climate policy uncertainty, investor behavior, and carbon market returns 气候政策不确定性、投资者行为和碳市场回报

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-11-25 DOI: 10.1016/j.jcomm.2025.100534

Zhenhua Liu , Hongyu Zhong , Deyuan Zhang

This study investigates the dynamic impacts of climate policy uncertainty and investor behavior on carbon market returns by using the quasi-Bayes local likelihood time-varying parameter vector autoregression (QBLL-TVP-VAR) model. The empirical results indicate that climate policy uncertainty has significant time-varying impacts on carbon market returns, which is more critical during major international climate events. Moreover, investor behavior provides a transmission channel for the propagation between climate policy uncertainty shocks and the carbon market, but the role of different types of investor behavior is heterogeneous. These findings highlight the need to consider the nonlinear impact of climate policy uncertainty on the carbon market.

本文采用拟贝叶斯局部似然时变参数向量自回归（QBLL-TVP-VAR）模型，研究了气候政策不确定性和投资者行为对碳市场收益的动态影响。实证结果表明，气候政策不确定性对碳市场收益具有显著的时变影响，且在重大国际气候事件中更为显著。此外，投资者行为为气候政策不确定性冲击与碳市场之间的传播提供了传导渠道，但不同类型的投资者行为所起的作用存在异质性。这些发现强调了考虑气候政策不确定性对碳市场的非线性影响的必要性。

引用次数: 0

Climate change exposure risk, reserves and stock returns of oil and gas companies 气候变化风险，石油和天然气公司的储量和股票回报

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-11-10 DOI: 10.1016/j.jcomm.2025.100524

Diana Castro , Juncal Cunado , Juan Equiza-Goñi , Fernando Perez de Gracia

This paper examines the joint effects of total proved reserves and climate change exposure on the stock returns of oil and gas companies with a particular focus on their interaction, using firm-level data from 2002 to 2022. Our findings reveal that climate change exposure has a significant positive effect on stock returns, suggesting the presence of a climate risk premium. We also find that the interaction between total proved reserves and exposure to climate regulatory shocks has a significant negative impact on stock returns, indicating that these reserves may be viewed as stranded assets. Finally, we detect that these effects are more pronounced after the Paris Agreement, which can be attributed to heightened levels of climate policy uncertainty following 2016.

本文使用2002年至2022年的公司层面数据，研究了总探明储量和气候变化敞口对油气公司股票回报的共同影响，并特别关注它们之间的相互作用。研究结果表明，气候变化风险敞口对股票收益有显著的正向影响，表明存在气候风险溢价。我们还发现，总探明储量与气候监管冲击之间的相互作用对股票回报有显著的负面影响，表明这些储量可能被视为搁浅资产。最后，我们发现，这些影响在《巴黎协定》之后更为明显，这可归因于2016年之后气候政策不确定性的提高。

引用次数: 0

Policy uncertainty and volatility spillovers in European electricity markets: Implications for market dynamics and innovation 欧洲电力市场的政策不确定性和波动性溢出：对市场动态和创新的影响

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-11-07 DOI: 10.1016/j.jcomm.2025.100525

Kyriaki Tselika , Maria Tselika , Elias Demetriades

In the evolving European energy landscape, it is essential to deepen our understanding of the interplay between electricity markets, volatility, and policy uncertainty. This paper investigates volatility spillovers across 11 European electricity markets and examines how three distinct policy uncertainty indices – economic, energy, and environmental – affect these spillovers. We employ three advanced econometric approaches to assess how the interconnected European market receives and transmits volatility. Furthermore, we analyze the influence of policy uncertainty on volatility transmission across markets using both linear and quantile regression models, allowing us to capture dynamics across different time horizons and market conditions. Our findings reveal significant fluctuations in volatility spillovers, both in the short-term and long-term market. An increase in all three policy uncertainty indices reduce short-term spillovers while energy policy uncertainty increases long-term volatility. This effect highlights the complex relationship between policy uncertainty and electricity market dynamics in Europe. The study provides crucial insights for policymakers and market participants, highlighting the need for strategic risk management and coordinated policy frameworks to mitigate the impacts of volatility and enhance market stability. Lastly, this research contributes to a deeper understanding of how policy uncertainty shapes the evolving European electricity markets.

在不断变化的欧洲能源格局中，有必要加深我们对电力市场、波动性和政策不确定性之间相互作用的理解。本文研究了11个欧洲电力市场的波动性溢出效应，并考察了三个不同的政策不确定性指数——经济、能源和环境——如何影响这些溢出效应。我们采用三种先进的计量经济学方法来评估相互关联的欧洲市场如何接收和传递波动。此外，我们使用线性和分位数回归模型分析了政策不确定性对市场波动传导的影响，使我们能够捕捉不同时间范围和市场条件下的动态。我们的研究结果表明，在短期和长期市场中，波动性溢出效应都存在显著波动。三个政策不确定性指数的增加减少了短期溢出效应，而能源政策的不确定性增加了长期波动性。这种影响凸显了欧洲政策不确定性与电力市场动态之间的复杂关系。该研究为政策制定者和市场参与者提供了重要见解，强调了战略风险管理和协调政策框架的必要性，以减轻波动的影响，增强市场稳定性。最后，这项研究有助于更深入地了解政策不确定性如何影响不断发展的欧洲电力市场。

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引用次数: 0

Media coverage of climate change risks and the performance of clean versus dirty energy market 媒体对气候变化风险的报道以及清洁能源与污染能源市场的表现

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-11-06 DOI: 10.1016/j.jcomm.2025.100523

Leila Hedhili Zaier , Khaled Mokni , Robert F. Scherer , Sami Ben Jabeur

This study examines the impact of public climate-change discourse on the price returns of clean versus dirty energy stocks, utilizing novel measures of climate risk derived from diverse sources, including newspapers, radio, and television. By applying the innovative quantile-on-quantile connectedness approach, the results reveal significant bidirectional interactions between climate change discourse and energy markets. Clean energy stocks generally exhibit greater sensitivity to media coverage than dirty energy stocks, especially during periods of strong market performance. High levels of media attention tend to increase the connectedness between media narratives and energy markets, with clean energy stocks acting as transmitters of positive shocks under favorable market conditions. Conversely, dirty energy markets tend to be more reactive to external shocks during periods of low market performance, reflecting their vulnerability to negative media coverage. The total connectedness index fluctuates over time, with clean energy markets showing higher direct connectedness under intense media coverage and dirty energy stocks exhibiting stronger reverse connectedness during economic stress. Global crises such as COVID-19 and the Russia–Ukraine war amplify these dynamics, contributing to increased market volatility. These insights underscore the importance of considering media narratives in investment strategies and policymaking related to energy markets.

本研究考察了公共气候变化话语对清洁能源股和污染能源股价格回报的影响，利用了来自不同来源（包括报纸、广播和电视）的气候风险的新措施。通过应用创新的分位数对分位数连通性方法，结果揭示了气候变化话语与能源市场之间显著的双向相互作用。清洁能源股通常比污染能源股对媒体报道更敏感，尤其是在市场表现强劲的时期。媒体的高度关注往往会增加媒体叙述与能源市场之间的联系，在有利的市场条件下，清洁能源股票充当积极冲击的传播者。相反，在市场表现低迷时期，肮脏能源市场往往对外部冲击反应更强烈，这反映出它们容易受到负面媒体报道的影响。总连通性指数随时间波动，在媒体密集报道下，清洁能源市场表现出更高的直接连通性，而在经济压力下，肮脏能源股表现出更强的反向连通性。2019冠状病毒病和俄罗斯-乌克兰战争等全球危机放大了这些动态，导致市场波动加剧。这些见解强调了在与能源市场相关的投资策略和政策制定中考虑媒体叙事的重要性。

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引用次数: 0

News-based equity market uncertainty aligned: An informative predictor for gold market volatility 基于新闻的股票市场不确定性：黄金市场波动的信息预测

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-10-28 DOI: 10.1016/j.jcomm.2025.100522

Shuaibing Li, Yong Ma

Global economic shocks and geopolitical crises have transformed gold’s volatility patterns, demanding new forecasting tools. This study develops an aligned equity market uncertainty (EMV) index using supervised machine learning to predict gold market volatility. We find that the aligned EMV index is a powerful predictor of gold market volatility both in- and out-of-sample, with particularly stronger short-term forecasting ability during recessions and more pronounced long-term effectiveness during expansions. The aligned EMV index identifies three drivers of gold volatility: (1) hedging demand during equity market stress, (2) investor sentiment spillovers, and (3) shared macroeconomic risks like inflation. Moreover, the aligned EMV index provides valuable complementary predictive information beyond general EMV indices, widely recognized economic variables, and uncertainty indicators. By incorporating this aligned EMV index into trading strategies, investors can achieve economic gains. These results underscore the interconnectedness of financial markets and the role of gold as a safe-haven asset.

全球经济冲击和地缘政治危机改变了黄金的波动模式，需要新的预测工具。本研究开发了一个对齐的股票市场不确定性（EMV）指数，使用监督机器学习来预测黄金市场波动。我们发现，在样本内和样本外，一致性EMV指数都是黄金市场波动的有力预测指标，在经济衰退期间具有更强的短期预测能力，在经济扩张期间具有更明显的长期有效性。一致的EMV指数确定了黄金波动的三个驱动因素：(1)股市压力期间的对冲需求，(2)投资者情绪溢出效应，(3)共同的宏观经济风险，如通货膨胀。此外，在一般的EMV指数、广泛认可的经济变量和不确定性指标之外，统一的EMV指数提供了有价值的互补预测信息。通过将这一一致的EMV指数纳入交易策略，投资者可以获得经济收益。这些结果强调了金融市场的相互关联性以及黄金作为避险资产的作用。

引用次数: 0

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