Journal of Commodity Markets最新文献_第2页

Seasonal variation in the impact of solar power generation on electricity price level and variability 季节变化对太阳能发电电价水平和变异性的影响

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-10-20 DOI: 10.1016/j.jcomm.2025.100521

Nobuhiro Fuke , Kazuhiko Ohashi

This study employs quantile regression to examine the impact of solar photovoltaic (PV) power generation on both the level and variability of wholesale electricity prices. The analysis is based on data from April 2016 to March 2020 for the Kyushu region of Japan, which is particularly suitable for this study given its high solar PV penetration, limited interconnection capacity with other regions, and distinct seasonal variations. Results confirm the merit-order effect and demonstrate a novel finding of seasonal variation in the impact of solar PV power generation on electricity price variability: increased solar PV power generation is associated with reduced price variability in spring and summer, but not in autumn and winter. This seasonal divergence is attributable to changes in the relationship between electricity demand and solar PV output, driven by temperature-dependent demand and positive correlations between temperature, solar radiation, and PV generation. The findings have broader implications for electricity markets with high solar PV penetration and subject to seasonal changes. For policymakers and electricity market participants aiming to mitigate price fluctuations, managing PV-induced variability is more critical during low-temperature (than high-temperature) seasons. Moreover, the valuation of real options for solar PV-based storage facilities may differ between low- and high-temperature periods. A nuanced understanding of seasonal supply–demand dynamics is essential for accurately assessing price risks, evaluating the value of solar PV investments, and formulating effective policies for renewable energy integration.

本研究采用分位数回归分析太阳能光伏发电对批发电价水平和变异性的影响。该分析基于日本九州地区2016年4月至2020年3月的数据，由于该地区太阳能光伏渗透率高，与其他地区的互联容量有限，且季节性变化明显，因此特别适合本研究。结果证实了效益顺序效应，并展示了太阳能光伏发电对电价波动影响的季节性变化的新发现：增加的太阳能光伏发电与春季和夏季的价格波动减少有关，但在秋季和冬季则没有。这种季节性差异可归因于电力需求和太阳能光伏发电量之间关系的变化，这是由温度依赖需求和温度、太阳辐射和光伏发电量之间的正相关驱动的。这一发现对太阳能光伏渗透率高且受季节变化影响的电力市场具有更广泛的影响。对于旨在缓解价格波动的政策制定者和电力市场参与者来说，在低温季节（比高温季节）管理光伏引起的变化更为关键。此外，基于太阳能光伏的储能设施的实际期权估值在低温期和高温期可能会有所不同。对季节性供需动态的细致理解对于准确评估价格风险、评估太阳能光伏投资价值以及制定有效的可再生能源整合政策至关重要。

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引用次数: 0

Interactive effects of economic, geopolitical, and climate risks on commodity volatility 经济、地缘政治和气候风险对商品波动的相互影响

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-10-16 DOI: 10.1016/j.jcomm.2025.100518

Thomas Leirvik

This study employs a quantile moments approach to examine how economic policy uncertainty (EPU), geopolitical risk (GPR), and climate risks affect commodity return volatility. By incorporating interaction effects, we show that models ignoring these interactions underestimate volatility by up to 35% during stress periods. The analysis reveals varied effects across different volatility regimes, with transition climate risk intensifying market volatility particularly during turbulent times, whereas physical climate risk exhibits a mitigating effect. These findings offer valuable implications for risk management and policy coordination in commodity markets, highlighting the importance of considering interaction effects both normal and volatile market conditions.

本研究采用分位矩方法来研究经济政策不确定性（EPU）、地缘政治风险（GPR）和气候风险如何影响商品回报波动。通过纳入相互作用效应，我们表明，在压力期间，忽略这些相互作用的模型低估了高达35%的波动性。分析揭示了不同波动机制的不同影响，转型气候风险加剧了市场波动，尤其是在动荡时期，而物理气候风险则表现出缓解作用。这些发现为商品市场的风险管理和政策协调提供了有价值的启示，突出了考虑正常和波动市场条件下相互作用影响的重要性。

引用次数: 0

The oil industry chain under climate risk: Evidence from China's listed oil companies 气候风险下的石油产业链：来自中国石油上市公司的证据

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-10-10 DOI: 10.1016/j.jcomm.2025.100519

Jingrui Qin , Dun Liu , Chao Liang

In recent years, the impact of climate change and associated risks on global energy markets has grown significant, particularly in the oil industry, which is a key area with dual economic and environmental impacts. In this paper, we examine the frequency dynamics between listed oil companies in China and the causal relationships between climate transition risk and physical risk and risk spillover from listed oil companies. First, this paper discusses the fluctuation spillover effect between listed oil companies under the HD-TVPVAR-BK (high-dimensional time-varying frequency domain) spillover framework. Furthermore, the rolling Hong test and DCC-MGARCH Hong test are used to analyse the two-way causal relationships between the PRI (climate physical risk) and the TRI (climate transition risk) and listed oil companies. The results show that short-term fluctuation spillover is the main factor of information transmission in the oil industry and extends far beyond the long-term fluctuation spillover. Information transmission is heterogeneous among different oil companies, and there are differences between the short and long terms. In addition, our research highlights the significant dynamic causal relationships between the TRI and the PRI and Chinese petroleum enterprises, especially when risk events occur. This insight provides oil industry companies with new data support and analytical perspective to develop short- and long-term strategies to address climate risks and drive a low-carbon transition.

近年来，气候变化和相关风险对全球能源市场的影响越来越大，特别是在石油行业，这是一个具有双重经济和环境影响的关键领域。本文研究了中国石油上市公司之间的频率动态，以及石油上市公司的气候转型风险与物理风险和风险溢出之间的因果关系。首先，本文在HD-TVPVAR-BK（高维时变频域）溢出框架下讨论了石油上市公司之间的波动溢出效应。利用滚动Hong检验和DCC-MGARCH Hong检验分析了气候物理风险（PRI）和气候转型风险（TRI）与上市石油公司之间的双向因果关系。研究结果表明，短期波动溢出是石油行业信息传递的主要因素，并远远超出了长期波动溢出。不同石油公司之间的信息传递具有异质性，且存在短期和长期的差异。此外，我们的研究强调了TRI和PRI与中国石油企业之间显著的动态因果关系，特别是在风险事件发生时。这一见解为石油行业公司提供了新的数据支持和分析视角，以制定短期和长期战略，应对气候风险，推动低碳转型。

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引用次数: 0

The dynamics of energy transition metals under climate policy uncertainty 气候政策不确定性下能源过渡金属的动态

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-10-10 DOI: 10.1016/j.jcomm.2025.100520

Abebe Hailemariam , Kris Ivanovski

Climate policy uncertainty has emerged as a key source of systemic risk in global commodity markets, particularly for energy transition metals. The volatile and uneven trajectory of climate policy shaped by shifting political priorities, macro financial shocks and regulatory reversals creates uncertainty for metals markets and long horizon investment. Using monthly data from 1988 to 2024, this study applies a Structural Vector Autoregression (SVAR) model with exogenous controls to identify the impact of climate policy uncertainty on energy transition metals while accounting for macroeconomic drivers. The findings show that uncertainty shocks trigger persistent price declines for nickel and more moderate short-lived effects for aluminium and copper. Additional analysis shows that investor sentiment operates as a transmission channel through which the effects of climate policy uncertainty transmits to changes in transition metal prices. A dynamic spillover analysis further shows that climate policy uncertainty usually acts as a net shock receiver but becomes more influential during systemic crises. Time varying Granger causality tests confirm an uni-directional influence of climate policy uncertainty on energy transition metals, especially around major policy events. These findings highlight the evolving role of climate policy uncertainty in shaping the dynamics of transition metal prices and show the need for credible and coordinated policy frameworks to support the energy transition.

气候政策的不确定性已成为全球大宗商品市场（尤其是能源过渡金属）系统性风险的主要来源。政治优先事项的变化、宏观金融冲击和监管逆转塑造了气候政策的波动和不平衡轨迹，给金属市场和长期投资带来了不确定性。本研究利用1988年至2024年的月度数据，采用外生控制的结构向量自回归（SVAR）模型，在考虑宏观经济驱动因素的同时，确定气候政策不确定性对能源过渡金属的影响。研究结果显示，不确定性冲击引发镍价格持续下跌，对铝和铜的短期影响则较为温和。进一步的分析表明，投资者情绪是一种传导渠道，气候政策不确定性的影响通过这种渠道传导到过渡金属价格的变化。动态溢出分析进一步表明，气候政策的不确定性通常是净冲击接受者，但在系统性危机期间影响更大。时变格兰杰因果检验证实了气候政策不确定性对能源过渡金属的单向影响，特别是在重大政策事件前后。这些发现强调了气候政策不确定性在形成过渡金属价格动态方面的不断变化的作用，并表明需要建立可信和协调的政策框架来支持能源转型。

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引用次数: 0

Oil price volatility and corporate debt choice: Evidence from China 油价波动与企业债务选择：来自中国的证据

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-26 DOI: 10.1016/j.jcomm.2025.100517

Yan Jiang , Tian Gan , Xiaokun Wei , Honghui Zou

Crude oil is considered a vital energy source that significantly shapes firms' production, operation, investment and financing activities. This paper examines the association between oil price volatility (OPV) and corporate debt choice. Using a sample of Chinese listed firms from 2008 to 2022, we find that OPV can increase (decrease) reliance on bank debt (bond financing). This finding is consistent after conducting various robustness checks. Besides, this effect is greater for energy-related industries, less competitive industries, or non-stated-owned firms. Moreover, we find that this effect stems from increased information asymmetry and escalated financial distress risks. Finally, OPV arising from positive price fluctuations has a greater impact on debt choice than negative price changes. This study enhances the understanding of OPV's economic implications, emphasizing the need for policymakers to consider the macroeconomic context when evaluating firms' debt strategies.

原油被认为是一种重要的能源，对企业的生产、经营、投资和融资活动有着重要的影响。本文考察了石油价格波动与企业债务选择之间的关系。以2008 - 2022年的中国上市公司为样本，我们发现OPV会增加（减少）对银行债务（债券融资）的依赖。在进行各种稳健性检查后，这一发现是一致的。此外，对能源相关行业、竞争力较弱行业和非国有企业的影响更大。此外，我们发现这种效应源于信息不对称的增加和财务困境风险的升级。最后，价格正波动产生的OPV比价格负变化对债务选择的影响更大。本研究加强了对OPV经济影响的理解，强调决策者在评估企业债务战略时需要考虑宏观经济背景。

引用次数: 0

Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis 原油、绿色金融和有色金属市场的互联性和时频溢出效应：一个高矩分析

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-25 DOI: 10.1016/j.jcomm.2025.100516

Hongli Niu, Yiming Ma

This paper investigates the spillover effects of high moments, including volatility, skewness, and kurtosis, in the crude oil, green finance and non-ferrous metal markets in the time-frequency domain. We employ spillover methods by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018), together with the GARCHSK higher-moment model, to analyze the interconnectedness among these markets. Our study reveals several key findings: Firstly, spillover effects diminish as higher-order moments are considered, with significant spillovers concentrated at lower frequencies. Secondly, spillovers exhibit time-varying characteristics, with heightened intensity during turbulent period. Thirdly, the net spillover roles of individual markets vary by frequency and moment type, indicating asymmetry in spillover effects. For example, lead and nickel act as primary net transmitters, except for volatility spillovers over short- and medium-term periods, while ESG market serves as a net transmitter, excluding skewness spillovers at lower frequencies. Lastly, constructing portfolios that include green financial assets or oil assets alongside non-ferrous metal assets can effectively reduce portfolio risk. This work offers valuable insights for investors aiming to build balanced portfolios and for regulators designing effective risk management strategies.

本文在时频域研究了原油、绿色金融和有色金属市场中波动率、偏度和峰度等高矩的溢出效应。我们采用Diebold和Yilmaz（2012）以及Baruník和Křehlík（2018）的溢出方法，以及GARCHSK高矩模型来分析这些市场之间的相互关联性。我们的研究揭示了几个关键发现：首先，考虑高阶矩时，溢出效应减弱，显著溢出集中在较低频率。其次，溢出效应具有时变特征，在动荡时期溢出效应强度增大。第三，个体市场的净溢出作用因频率和矩型而异，表明溢出效应的不对称性。例如，铅和镍作为主要的净发射器，除了短期和中期的波动性溢出，而ESG市场作为净发射器，不包括较低频率的偏度溢出。最后，构建绿色金融资产或石油资产与有色金属资产并存的投资组合，可以有效降低投资组合风险。这项工作为旨在建立平衡投资组合的投资者和设计有效风险管理策略的监管机构提供了宝贵的见解。

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引用次数: 0

The other side of the coin: Speculation in bearish natural gas markets 硬币的另一面：在看跌的天然气市场进行投机

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-25 DOI: 10.1016/j.jcomm.2025.100514

Chanaka N. Ganepola , Alireza Zarei , Uchenna Tony-Okeke

This paper analyses the speculative behaviour of traders in natural gas markets. We test for mild explosiveness in natural gas futures prices using the method proposed by Phillips et al. (2015a) and employ a multinomial logistic regression to determine whether changes in trader positions drive these explosive episodes. Our findings indicate that changes in short positions held by money managers increase the probability of negative explosiveness in futures prices. Our Granger causality analysis reveals that changes in positions held by money managers (pure speculators) precede changes in spot and futures prices, as well as the incentive to hold inventories during bearish market phases. This supports the notion that speculators might influence natural gas price dynamics in bearish conditions. However, our analysis does not provide evidence of a similar impact on futures prices during bullish phases. In fact, our results suggest that long positions taken by speculators reduce the probability of explosive price increases.

本文分析了天然气市场中交易者的投机行为。我们使用Phillips等人（2015a）提出的方法测试了天然气期货价格的轻度爆炸性，并采用多项逻辑回归来确定交易员头寸的变化是否驱动了这些爆炸性事件。我们的研究结果表明，基金经理持有的空头头寸的变化增加了期货价格负爆炸性的可能性。我们的格兰杰因果关系分析显示，基金经理（纯粹的投机者）持有的头寸变化先于现货和期货价格的变化，以及在熊市阶段持有库存的动机。这支持了投机者可能在看跌条件下影响天然气价格动态的观点。然而，我们的分析并没有提供在看涨阶段对期货价格产生类似影响的证据。事实上，我们的研究结果表明，投机者持有的多头头寸降低了价格爆炸性上涨的可能性。

引用次数: 0

Hedging shipping freight rates using conditional Value-at-Risk and Buffered Probability of Exceedance 使用条件风险价值和缓冲超出概率对冲航运运价

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-23 DOI: 10.1016/j.jcomm.2025.100515

Xiaolin Sun , Amir H. Alizadeh , Panos K. Pouliasis

This paper investigates the performance of the minimum Conditional Value-at-Risk (CVaR) hedging technique in the dry bulk shipping freight market, where extreme volatility and asymmetric return distributions often limit the effectiveness of traditional minimum variance approaches. The CVaR-based framework is used to minimize the downside tail risk in both static and dynamic hedging settings using a dataset of Forward Freight Agreements (FFAs) for Capesize, Panamax and Supramax vessels over the period of January 2007 to December 2022. Our results suggest that the effectiveness of alternative hedging strategies is sensitive to the distributional shape of the underlying returns, underscoring the suitability of CVaR-based strategies under heavy-tailed and skewed returns. Furthermore, we introduce a probabilistic optimization framework that minimizes the Buffered Probability of Exceedance (bPOE), subject to a pre-specified CVaR constraint. This dual-risk formulation yields an efficient frontier, i.e., a set of optimal solutions between risk and return, that quantifies the trade-off between the likelihood and magnitude of extreme losses, ultimately enhancing hedging performance and offering insights into tail risk management.

本文研究了最小条件风险值（CVaR）套期保值技术在干散货航运市场中的表现，其中极端的波动性和不对称的回报分布往往限制了传统最小方差方法的有效性。基于cvar的框架使用2007年1月至2022年12月期间好望角型、巴拿马型和超重型船舶远期运费协议（FFAs）数据集，用于最小化静态和动态对冲设置中的下行尾部风险。我们的研究结果表明，替代对冲策略的有效性对潜在收益的分布形状很敏感，强调了基于cvar的策略在重尾和倾斜收益下的适用性。此外，我们引入了一个概率优化框架，该框架在预先指定的CVaR约束下最小化缓冲超出概率（bPOE）。这种双重风险公式产生了一个有效的边界，即风险和回报之间的一组最优解，量化了极端损失的可能性和程度之间的权衡，最终提高了对冲绩效，并提供了对尾部风险管理的见解。

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引用次数: 0

Testing the efficiency of oil price forecast revisions in times of COVID-19 and the Russia–Ukraine conflict 在2019冠状病毒病和俄罗斯-乌克兰冲突期间测试油价预测修正的效率

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-17 DOI: 10.1016/j.jcomm.2025.100513

Ana María Iregui , Héctor M. Núñez , Jesús Otero

We investigate weak- and strong-form efficiency in fixed-event forecast revisions for Brent and WTI prices using proprietary microdata from Energy & Metals Consensus Forecasts™ by Consensus Economics®. Our findings indicate forecasters mostly revise independently of past revisions, suggesting weak efficiency. Contributing to the strong-form efficiency literature, we compile data on 75 publicly available variables, which capture COVID-19, the Russia–Ukraine conflict, macroeconomic, financial, and oil market indicators. To ensure the information available to forecasters matched what was realistic at the time of their predictions, we lagged the variables to account for publication delays. Additionally, we added another lag to each variable, doubling the information set from 75 to 150 variables. This constitutes a significant effort in comprehending the information accessible to crude oil forecasters. Employing innovative multiple testing and penalised regression methods to address variable selection in a data-rich environment, we find that, conditional on passing weak efficiency, support for strong-form efficiency is limited. Notably, analysts incorporate past variable values, including COVID-19 and Russia–Ukraine conflict metrics, in their revisions. Our econometric modelling sheds light on how analysts’ decision-making adapt to changing market conditions, sociopolitical developments, and critical information.

我们使用Consensus Economics®的Energy &； Metals Consensus Forecasts™的专有微观数据，研究了布伦特原油和西德克萨斯中质油价格固定事件预测修正中的弱形式和强形式效率。我们的研究结果表明，预测者大多独立于过去的修正，表明效率较低。我们编制了75个公开变量的数据，这些变量包括COVID-19、俄罗斯-乌克兰冲突、宏观经济、金融和石油市场指标。为了确保预报员获得的信息与他们预测时的实际情况相匹配，我们对变量进行了滞后处理，以解释出版延迟。此外，我们为每个变量添加了另一个延迟，将信息集从75个增加到150个。这在理解原油预测者可获得的信息方面作出了重大努力。采用创新的多重测试和惩罚回归方法来解决数据丰富环境中的变量选择问题，我们发现，在通过弱效率的条件下，对强形式效率的支持是有限的。值得注意的是，分析师在其修订中纳入了过去的变量值，包括COVID-19和俄罗斯-乌克兰冲突指标。我们的计量经济模型揭示了分析师的决策如何适应不断变化的市场条件、社会政治发展和关键信息。

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引用次数: 0

Energy price uncertainty and sectoral tail risk: Evidence from quantile-on-quantile connectedness 能源价格不确定性和行业尾部风险：来自分位数间连通性的证据

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-09 DOI: 10.1016/j.jcomm.2025.100512

Boqiang Lin , Tianxu Lan

As the Chinese market increasingly becomes dependent on uncertainties in coal and oil prices, this paper examines the implications for financial markets and the transmission of tail risk across various industries. Employing a generalized quantile connectedness network model, we analyze the impact of coal price uncertainty (CPU) and international oil price uncertainty (OPU) on the volatility of Chinese sectoral stock markets during the period from 2016 to 2025. The study yields the following key conclusions: (1) In the context of “directly related” tail states, systemic risk spillover is most pronounced; (2) The net risk spillover from CPU and OPU primarily occurs under conditions of “high uncertainty + high market pressure,” demonstrating a significant complementary mechanism among the energy market, financial market, and industrial sector; (3) In periods of heightened volatility, CPU and OPU emerge as critical nodes within a highly interconnected network; (4) When faced with supply-side external shocks, the risk spillover effects associated with energy price uncertainty are notably amplified. Based on these findings, this paper proposes targeted policy recommendations.

随着中国市场越来越依赖于煤炭和石油价格的不确定性，本文研究了对金融市场的影响以及尾部风险在各行业之间的传导。本文采用广义分位数连通性网络模型，分析了2016 - 2025年煤炭价格不确定性（CPU）和国际油价不确定性（OPU）对中国行业股票市场波动的影响。研究得出以下主要结论：(1)在“直接相关”尾部状态下，系统性风险溢出最为明显；(2) CPU和OPU的净风险溢出主要发生在“高不确定性+高市场压力”的条件下，能源市场、金融市场和工业部门之间存在显著的互补机制；(3)在波动加剧的时期，CPU和OPU在高度互联的网络中成为关键节点；(4)面对供给侧外部冲击时，能源价格不确定性相关的风险溢出效应显著放大。在此基础上，本文提出了针对性的政策建议。

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引用次数: 0