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When Chinese mania meets global frenzy: Commodity price bubbles 当中国狂热遇上全球狂热:商品价格泡沫
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-05 DOI: 10.1016/j.jcomm.2024.100437
John Hua Fan , Adrian Fernandez-Perez , Ivan Indriawan , Neda Todorova
This paper examines price bubbles in global commodity markets. We find that positive bubbles are more driven by fundamental shocks, while negative bubbles are more influenced by pessimistic market views on prices and the economy. Furthermore, bubble determinants vary across geographic regions. Trader behavior and policy uncertainty play prominent roles in influencing price bubbles in China, while global bubbles are predominantly shaped by rational responses to inventory, growth, and inflation. Finally, only positive bubbles exhibit contagion across regions. Overall, our findings suggest that asset price bubbles arise from traders' behavioral responses to a combination of fundamental, macroeconomic, and idiosyncratic shocks.
本文研究了全球商品市场的价格泡沫。我们发现,积极的泡沫更多受到基本面冲击的推动,而消极的泡沫则更多受到市场对价格和经济悲观看法的影响。此外,泡沫的决定因素因地理区域而异。中国的交易者行为和政策不确定性在影响价格泡沫方面发挥了突出作用,而全球泡沫则主要是由对库存、增长和通胀的理性反应形成的。最后,只有正向泡沫才表现出跨地区的传染性。总之,我们的研究结果表明,资产价格泡沫源于交易者对基本面、宏观经济和特殊冲击的综合行为反应。
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引用次数: 0
Do oil market shocks affect financial distress? Evidence from firm-level global data 石油市场冲击会影响财务困境吗?来自公司层面全球数据的证据
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-29 DOI: 10.1016/j.jcomm.2024.100436
Mohammad Mahdi Mousavi , Giray Gozgor , Albert Acheampong
This study investigates the impact of three oil price shocks on financial distress of global firms using a dataset of 8130 firms across 48 countries from 2002 to 2022. It also analyses the role of energy diversification in the relationship between oil shocks and firm distress. The findings reveal that aggregate demand and specific demand shocks increase firm distress risk, while supply shocks reduce it. Furthermore, the results suggest that energy diversification mitigates the impact of specific demand shocks on firm distress. The study also implements several robustness checks, and the results remain consistent. Potential policy implications are also discussed.
本研究使用 2002 年至 2022 年 48 个国家 8130 家公司的数据集,研究了三次石油价格冲击对全球公司财务困境的影响。研究还分析了能源多样化在石油冲击与企业困境之间关系中的作用。研究结果表明,总需求和特定需求冲击会增加企业困境风险,而供应冲击则会降低风险。此外,研究结果表明,能源多样化减轻了特定需求冲击对企业困境的影响。研究还进行了若干稳健性检验,结果保持一致。研究还讨论了潜在的政策影响。
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引用次数: 0
A comparative study of factor models for different periods of the electricity spot price market 不同时期电力现货价格市场因素模型的比较研究
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-09-20 DOI: 10.1016/j.jcomm.2024.100435
Christian Laudagé , Florian Aichinger , Sascha Desmettre

Due to major shifts in the European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work, we study the performance of two different factor models for the electricity spot price in three different time periods. To this end, we consider three samples of EEX data for the Austrian base load electricity spot price, one from the pre-crisis from 2018 to 2021, the second from the time of the crisis from 2021 to 2023, and the whole data from 2018 to 2023. For each of these samples, we investigate the fit of a classical 3-factor model with a Gaussian base signal and one positive and one negative jump signal and compare it with a 4-factor model to assess the effect of adding a second Gaussian base signal to the model.

For the calibration of the models, we develop a tailor-made Markov Chain Monte Carlo method based on Gibbs sampling. To evaluate the model adequacy, we provide simulations of the spot price as well as a posterior predictive check for the 3- and the 4-factor model. We find that the 4-factor model outperforms the 3-factor model in times of non-crises. In times of crisis, the second Gaussian base signal does not lead to a better fit of the model. To the best of our knowledge, this is the first study regarding stochastic electricity spot price models in this new market environment. Hence, it serves as a solid base for future research.

由于欧洲能源供应的重大变化,从 2021 年第二季度开始,奥地利电力现货价格数据出现了结构性变化。在这项工作中,我们研究了两个不同因素模型在三个不同时期对电力现货价格的影响。为此,我们考虑了奥地利基本负荷电力现货价格的三个 EEX 数据样本,一个是危机前从 2018 年到 2021 年的样本,第二个是危机期间从 2021 年到 2023 年的样本,以及 2018 年到 2023 年的全部数据。对于这些样本中的每一个,我们都研究了带有高斯基本信号和一正一负跳跃信号的经典 3 因子模型的拟合度,并将其与 4 因子模型进行比较,以评估在模型中添加第二个高斯基本信号的效果。为了评估模型的充分性,我们提供了现货价格的模拟结果,并对 3 因子模型和 4 因子模型进行了后验预测。我们发现,在非危机时期,4 因子模型优于 3 因子模型。在危机时期,第二个高斯基本信号并不能使模型拟合得更好。据我们所知,这是在新市场环境下对随机电力现货价格模型的首次研究。因此,它为今后的研究奠定了坚实的基础。
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引用次数: 0
Weathering market swings: Does climate risk matter for agricultural commodity price predictability? 抵御市场波动:气候风险对农产品价格的可预测性有影响吗?
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-30 DOI: 10.1016/j.jcomm.2024.100423
Yong Ma, Mingtao Zhou, Shuaibing Li

The challenges posed by climate change on the agricultural market have become a pressing concern. An accurate reading of future agricultural commodity prices can be an invaluable planning instrument for diverse interested parties. Here, we explore asset pricing implications of climate risk for the agricultural commodity market from January 2005 to December 2021. Through introducing a composite climate risk index based on the four individual climate risk measures of Faccini et al. (2023), our findings provide valuable insights into the time-series predictability of aggregate climate risk on future agricultural commodity returns, both in- and out-of-sample. This powerful predictability conveys substantial economic benefits to mean–variance investors and cannot be subsumed by conventional economic predictor variables. The evidence further suggests that physical risk, especially global warming, exhibits much stronger return predictability than transition risk. Moreover, we emphasize the pivotal role of climate risk in shaping supply dynamics and capturing investor attention, thereby serving as potential drivers of return predictability. Overall, these predictive insights hold important implications for risk management, investment strategies, and policy formulation in the agricultural commodity market.

气候变化给农业市场带来的挑战已成为人们迫切关注的问题。对未来农产品价格的准确解读可以成为各利益相关方的宝贵规划工具。在此,我们探讨了 2005 年 1 月至 2021 年 12 月期间气候风险对农产品市场资产定价的影响。通过引入基于 Faccini 等人(2023 年)的四种单个气候风险度量的综合气候风险指数,我们的研究结果为总体气候风险对未来农产品收益的时间序列预测性(包括样本内和样本外)提供了宝贵的见解。这种强大的可预测性为均值方差投资者带来了巨大的经济利益,是传统经济预测变量所无法取代的。证据进一步表明,物理风险,尤其是全球变暖,比过渡风险表现出更强的收益预测性。此外,我们还强调了气候风险在影响供应动态和吸引投资者注意力方面的关键作用,从而成为收益可预测性的潜在驱动因素。总之,这些预测性见解对农产品市场的风险管理、投资策略和政策制定具有重要意义。
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引用次数: 0
Oil jump tail risk as a driver of inflation dynamics 石油跃升尾部风险是通胀动态的驱动因素
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-29 DOI: 10.1016/j.jcomm.2024.100434
Laurent Ferrara , Aikaterini Karadimitropoulou , Athanasios Triantafyllou

In this paper, we look at the role of various oil jump tail risk measures as drivers of both U.S. headline and core inflation. Those measures are first computed from high-frequency oil future prices and are then introduced into standard regression models in order to (i) assess in-sample determinants of inflation, (ii) assess overtime the evolution of inflation drivers, (iii) estimate impulse response functions and (iv) forecast inflation out-of-sample for various horizons. Empirical results suggest that oil jump tail risk measures contain useful information to describe inflation dynamics, generally leading to upward inflationary pressures. Even after controlling from standard variables involved in a Phillips curve, goodness-of-fit measures show evidence of a gain, in particular for headline inflation. Overall, we observe that oil jump tail risk measures are contributing more to inflation dynamics since the Covid-19 crisis.

在本文中,我们研究了各种石油跳空尾部风险指标作为美国总体和核心通胀驱动因素的作用。首先根据高频石油期货价格计算出这些指标,然后将其引入标准回归模型,以便(i)评估通货膨胀的样本内决定因素,(ii)评估通货膨胀驱动因素的超时演化,(iii)估计脉冲响应函数,以及(iv)预测不同期限的样本外通货膨胀。实证结果表明,石油跃变尾部风险度量包含描述通胀动态的有用信息,通常会导致通胀压力上升。即使在控制了菲利普斯曲线所涉及的标准变量后,拟合优度也显示出了收益的证据,尤其是对总体通胀而言。总体而言,我们发现自 19 年科维德危机以来,石油跃升尾部风险指标对通胀动态的影响更大。
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引用次数: 0
Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility 用原油波动指数分散原油价格风险:波动率的作用
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-23 DOI: 10.1016/j.jcomm.2024.100425
Leon Li , Peter Miu

To understand the diversification benefit of crude oil volatility, we examine the return-volatility relation in the crude oil market, given the interaction of the volatility (VOL) and the volatility-of-volatility (VOV). We develop a novel empirical model of the crude oil price and crude oil volatility index (OVX) returns incorporating both time-varying and state-dependent variances and correlations, thus allowing us to identify distinct market regimes of VOL and VOV. We find that the behavior of the return-volatility relation is contingent on the prevailing VOV regimes. Specifically, in a low (high) VOV regime, the relation becomes less (more) negative as VOL increases. These empirical results therefore imply that the diversification benefit of crude oil volatility is far from uniform across the different market states. Finally, using our proposed empirical model, we demonstrate the economic significance of recognizing both the time-varying and state-dependent variances/correlations in portfolio risk forecasting and construction.

为了了解原油波动性的多样化优势,我们研究了原油市场中波动率(VOL)和波动性的波动率(VOV)相互作用下的收益率-波动率关系。我们为原油价格和原油波动率指数(OVX)收益率建立了一个新的实证模型,该模型包含了时变和状态依赖的方差和相关性,从而使我们能够识别出 VOL 和 VOV 的不同市场制度。我们发现,收益率-波动率关系的行为取决于当前的 VOV 体系。具体而言,在低(高)VOV 体系中,随着 VOL 的增加,这种关系会变得更小(更大)。因此,这些实证结果表明,原油波动带来的多样化收益在不同的市场状态下并不一致。最后,利用我们提出的实证模型,我们证明了在投资组合风险预测和构建中认识到时变和状态相关方差/相关性的经济意义。
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引用次数: 0
Seasonality patterns in LNG shipping spot and time charter freight rates 液化天然气航运即期和定期包船运费的季节性模式
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-10 DOI: 10.1016/j.jcomm.2024.100424
Dionysios Polemis, Christos Bentsos

The aim of this paper is to investigate the existence and the nature of seasonality in LNG freight rates of different duration contract, over different market conditions (peak and troughs) for the period from December 2010 to June 2023. We employ the HEGY method and seasonal dummy variables to test for stochastic and deterministic seasonality, respectively. Then we use Markov Switching models to test for asymmetries in seasonal fluctuations across different market conditions. We reject the existence of stochastic seasonality for all freight series while results on deterministic seasonality indicate increases in rates in June, October, and November. We also found that seasonal patterns vary across market conditions, revealing that seasonal rate movements are more pronounced when the market is in downturn. Moreover, we found that the seasonal movements present similar patterns across different trading routes. The results have implications for stakeholders across the LNG value chain.

本文旨在研究 2010 年 12 月至 2023 年 6 月期间,在不同市场条件(高峰和低谷)下,不同期限合同的液化天然气运费是否存在季节性及其性质。我们采用 HEGY 方法和季节性虚拟变量分别检验随机和确定性季节性。然后,我们使用马尔科夫转换模型来检验不同市场条件下季节性波动的不对称性。我们拒绝接受所有货运序列都存在随机季节性的结论,而确定性季节性的结果表明,6 月、10 月和 11 月的运价会上升。我们还发现,不同市场条件下的季节性模式各不相同,这表明当市场低迷时,季节性费率变动更为明显。此外,我们还发现,季节性波动在不同的交易路线上呈现出相似的模式。这些结果对整个液化天然气价值链的利益相关者都有影响。
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引用次数: 0
Did grain futures prices overreact to the Russia–Ukraine war due to herding? 谷物期货价格对俄乌战争的过度反应是否源于羊群效应?
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-06 DOI: 10.1016/j.jcomm.2024.100422
Colin A. Carter , Sandro Steinbach

We study the impact of the 2022 Russian invasion of Ukraine on grain futures prices. The war allows us to evaluate whether commodity futures markets at the time were driven by investor herding. Using event study methods, we find that wheat futures prices rose by 35 percent above the counterfactual until the EU Solidarity Lanes were announced, more than corn futures prices, which were up 16 percent. This relative price response cannot be explained by herding behavior. Furthermore, prices for control commodities did not respond to the war at all, contradicting the herding theory. There is no statistical evidence of abnormal speculative pressure in the market around the time of the invasion, and we conclude the markets put a fair price on the wartime risk of Black Sea grain shipment disruptions.

我们研究了 2022 年俄罗斯入侵乌克兰对谷物期货价格的影响。通过这场战争,我们可以评估当时的商品期货市场是否受到投资者羊群效应的驱动。利用事件研究方法,我们发现在欧盟团结通道宣布之前,小麦期货价格比反事实价格上涨了 35%,高于玉米期货价格 16%的涨幅。这种相对价格反应无法用羊群行为来解释。此外,控制商品的价格根本没有对战争做出反应,这与羊群行为理论相矛盾。没有统计证据表明入侵前后市场存在异常投机压力,因此我们得出结论,市场对黑海粮食运输中断的战时风险进行了合理定价。
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引用次数: 0
Boring finance. Petroleum exploration and firm debt: Evidence from Norway 石油勘探钻井融资与公司债务:挪威的证据
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-07-25 DOI: 10.1016/j.jcomm.2024.100421
Johannes Mauritzen

The role of financing in petroleum exploration has gained prominence due to sustainability commitments by major financing institutions. Yet the relationship between exploration and financing has been little explored and poorly understood. I create a novel data set combining detailed exploration data with financial register data on all public and private firms operating on the Norwegian Continental Shelf to analyze the relationship between debt and drilling decisions. I make use of both an over-dispersed Poisson regression model estimated by maximum likelihood and a Bayesian hierarchical negative binomial regression model where key elements of the industry microstructure are specified and explicitly modeled. I find evidence that short-term debt is associated with lower rates of drilling and more modest evidence that long-term debt has a slightly positive relationship with exploratory drilling. This evidence is consistent with a financial constraints theory of oil drilling, and supports the argument that exploration drilling is dependent on a firms access to financing.

由于主要融资机构做出了可持续发展的承诺,融资在石油勘探中的作用日益突出。然而,人们对勘探与融资之间的关系却知之甚少。我创建了一个新的数据集,将详细的勘探数据与挪威大陆架上所有公共和私营企业的财务登记数据相结合,分析债务与钻井决策之间的关系。我同时使用了用最大似然法估算的超分散泊松回归模型和贝叶斯分层负二项回归模型,其中对行业微观结构的关键要素进行了具体化和明确建模。我发现有证据表明短期债务与较低的钻井率有关,而长期债务与勘探性钻井略有正相关的证据则较为温和。这些证据与石油钻井的财务约束理论相一致,并支持了勘探钻井取决于公司融资渠道的论点。
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引用次数: 0
Nash equilibria in greenhouse gas offset credit markets 温室气体抵消信贷市场的纳什均衡
IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-22 DOI: 10.1016/j.jcomm.2024.100419
Liam Welsh , Sebastian Jaimungal

One approach to reducing greenhouse gas (GHG) emissions is to incentivise carbon capturing and carbon reducing projects while simultaneously penalising excess GHG output. In this work, we present a novel market framework and characterise the optimal behaviour of GHG offset credit (OC) market participants in both single-player and two-player settings. The single player setting is posed as an optimal stopping and control problem, while the two-player setting is posed as optimal stopping and mixed-Nash equilibria problem. We demonstrate the importance of acting optimally using numerical solutions and Monte Carlo simulations and explore the differences between the homogeneous and heterogeneous players. In both settings, we find that market participants benefit from optimal OC trading and OC generation.

减少温室气体(GHG)排放的方法之一是激励碳捕获和碳减排项目,同时惩罚过量的温室气体产出。在这项工作中,我们提出了一个新颖的市场框架,并描述了温室气体抵消额度(OC)市场参与者在单人和双人环境下的最优行为。单方参与者设置被视为最优停止和控制问题,而双方参与者设置被视为最优停止和混合纳什均衡问题。我们利用数值解法和蒙特卡罗模拟证明了最优行动的重要性,并探讨了同质玩家和异质玩家之间的差异。我们发现,在这两种情况下,市场参与者都能从最优的 OC 交易和 OC 生成中获益。
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引用次数: 0
期刊
Journal of Commodity Markets
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