Journal of Commodity Markets最新文献_第2页

From Paris to Pandemic: How climate risk and policy uncertainty shapes fossil and clean Energy commodities 从巴黎到大流行：气候风险和政策不确定性如何影响化石和清洁能源商品

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2026-03-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jcomm.2026.100543

Aikaterini Karadimitropoulou , Pavlos Koulmas , Panayotis G. Michaelides , Athanasios Triantafyllou

How do climate-policy uncertainty and climate shocks affect systemic risk within clean and fossil-fuel energy markets? Could more advanced connectedness models help reduce this risk? This study investigates these concerns through the dynamic interconnections between climate risk and the leading energy commodities: natural gas, crude oil, and clean energy. Employing innovative text-based climate uncertainty indices capturing natural disasters, global warming, international summits, and U.S. climate policy, we apply the frequency-Quantile VAR model to unveil the asymmetric spillovers across time horizons and return quantiles. Our results show that events like the U.S. withdrawal from the Paris Agreement and the 2024 U.S. presidential election, significantly enhance interconnections among both renewable and conventional fossil-fuel energy markets. We also find that climate-policy uncertainty stemming from U.S. climate policy and international summits, consistently transmits risk in the high quantiles, driving both short-term volatility and long-term structural repricing in the energy commodity market. Our findings are useful guidelines for traders, portfolio managers, and policymakers aiming to hedge against tail risks and adapt to a decarbonizing global economy.

气候政策的不确定性和气候冲击如何影响清洁和化石燃料能源市场的系统性风险？更先进的连接模型能否帮助降低这种风险？本研究通过气候风险与主要能源商品（天然气、原油和清洁能源）之间的动态相互关系来研究这些问题。采用创新的基于文本的气候不确定性指数，捕捉自然灾害、全球变暖、国际峰会和美国气候政策，我们应用频率-分位数VAR模型来揭示跨时间范围和回报分位数的不对称溢出效应。我们的研究结果表明，美国退出《巴黎协定》和2024年美国总统大选等事件显著增强了可再生能源和传统化石燃料能源市场之间的相互联系。我们还发现，源于美国气候政策和国际峰会的气候政策不确定性持续在高分位数上传递风险，推动能源商品市场的短期波动和长期结构性重新定价。我们的发现对交易者、投资组合经理和政策制定者来说是有用的指导方针，旨在对冲尾部风险，适应脱碳的全球经济。

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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 : 2026-03-01 Epub 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

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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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