Journal of Commodity Markets最新文献

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Decomposed and partial connectedness between oil shocks and sovereign credit risk in emerging economies: Insights from the Russia-Ukraine war 新兴经济体中石油冲击与主权信用风险之间的分解和部分联系：来自俄乌战争的洞察

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-06-15 DOI: 10.1016/j.jcomm.2025.100492

Nader Naifar

This paper explores the decomposed and partial connectedness between oil shocks and sovereign credit risk, emphasizing the dynamics in emerging economies divided between oil-importing and exporting nations. Using data from June 28, 2013, to June 1, 2023, empirical findings indicate that oil demand and supply shocks have become net receivers during the Russo-Ukrainian war, absorbing spillovers from sovereign credit risks. Risk shocks emerge as the only consistent and intensifying net transmitters, indicating the growing role of geopolitical uncertainty in driving volatility. Mexico appears as a notable net transmitter. Brazil also plays a persistent role as a systemic transmitter, while Russia's diminishing influence and higher self-insulation reflect financial decoupling under sanctions. A decreased total connectedness during the conflict suggests a decoupling trend among countries. Our analysis demonstrates the predominance of external over internal connectedness, emphasizing the significant influence of global events. The results display distinct connectedness patterns between oil-importing and exporting countries, reflecting the varied effects of oil price volatility on sovereign credit risk, particularly during geopolitical instability.

本文探讨了石油冲击与主权信用风险之间的分解和部分联系，强调了石油进口国和出口国之间划分的新兴经济体的动态。利用2013年6月28日至2023年6月1日的数据，实证结果表明，在俄乌战争期间，石油需求和供应冲击已成为净接受者，吸收了主权信用风险的溢出效应。风险冲击是唯一持续且不断加剧的净传导因素，表明地缘政治不确定性在推动波动方面的作用日益增强。墨西哥是一个值得注意的净发射机。巴西也一直扮演着系统性传递者的角色，而俄罗斯影响力的减弱和更高的自我隔离反映了制裁下的金融脱钩。冲突期间总连通性的下降表明了国家间的脱钩趋势。我们的分析表明外部连通性优于内部连通性，强调了全球事件的重大影响。结果显示石油进口国和出口国之间存在明显的联系模式，反映了油价波动对主权信用风险的不同影响，特别是在地缘政治不稳定的情况下。

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引用次数: 0

Smoothing quantile regression averaging: A new approach to probabilistic forecasting of electricity prices 平滑分位数回归平均：电价概率预测的新方法

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-08-14 DOI: 10.1016/j.jcomm.2025.100501

Bartosz Uniejewski

Accurate short-term price forecasting is essential for daily operations in electricity markets. This article introduces a new method, called Smoothing Quantile Regression (SQR) Averaging, that improves upon well-performing probabilistic forecasting schemes. To demonstrate its utility, a comprehensive study is conducted on two electricity markets, including recent data covering the COVID-19 pandemic and the Russian invasion of Ukraine. The performance of SQR Averaging is evaluated both in terms of reliability and sharpness measures, and economic benefits from a trading strategy. The latter utilizes battery storage and sets limit orders using selected quantiles of the predictive distribution. SQR Averaging leads to profit increases compared to the benchmark strategy based solely on point forecasts. This is strong evidence for the practical value of using probabilistic forecasts in day-ahead power trading, even in the face of the COVID-19 pandemic and geopolitical disruptions.

准确的短期价格预测对电力市场的日常运作至关重要。本文介绍了一种新的方法，称为平滑分位数回归（SQR）平均，它改进了性能良好的概率预测方案。为了证明其效用，对两个电力市场进行了全面研究，包括最近涵盖COVID-19大流行和俄罗斯入侵乌克兰的数据。对SQR平均的性能进行了评估，包括可靠性和清晰度指标，以及交易策略的经济效益。后者利用电池存储并使用预测分布的选定分位数设置限制订单。与仅基于点预测的基准策略相比，SQR平均导致利润增加。这有力地证明了在日前电力交易中使用概率预测的实际价值，即使面对COVID-19大流行和地缘政治动荡。

引用次数: 0

Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024 对冲粮食价格风险。保持简单！粮食市场的计量经济学证据，1982-2024

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-08-09 DOI: 10.1016/j.jcomm.2025.100503

Marie Steen, Sjur Westgaard, Ole Gjolberg

This paper evaluates the effectiveness of seven hedging strategies for reducing price risk in the U.S. grain market. The strategies are ranging from a naïve “one-for-one” hedge to advanced econometric models such as Error Correction Models and GARCH, allowing for time-varying volatility. Using monthly data for corn, wheat, and soybeans 1982–2024 for conducting out-of-sample evaluations 1997–2024, we assess whether complex models provide meaningful advantages over simpler approaches. We find that while all strategies substantially reduce risk, simpler models perform comparably to more sophisticated ones in terms of standard deviation, Value-at-Risk, and Expected Shortfall. The results remain robust to different sub-samples and estimation windows.

本文评估了7种对冲策略在降低美国粮食市场价格风险方面的有效性。这些策略包括naïve“一对一”对冲，以及误差修正模型（Error Correction models）和GARCH等先进的计量经济模型，这些模型允许时变波动。利用1982-2024年玉米、小麦和大豆的月度数据进行1997-2024年的样本外评估，我们评估了复杂模型是否比简单方法具有有意义的优势。我们发现，虽然所有策略都大大降低了风险，但在标准偏差、风险价值和预期不足方面，更简单的模型比更复杂的模型表现得更好。结果对不同的子样本和估计窗口保持鲁棒性。

引用次数: 0

Geopolitical risk and energy market tail risk forecasting: An explainable machine learning approach 地缘政治风险和能源市场尾部风险预测：一个可解释的机器学习方法

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-05-14 DOI: 10.1016/j.jcomm.2025.100478

Mohammad Ashraful Ferdous Chowdhury , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Aviral Kumar Tiwari

This study develops a forecasting model for energy market tail risk, with a focus on the predictive role of geopolitical risk factors. Using daily energy commodities data spanning from 2000 to 2024, this study evaluates the performance of machine learning models. Results indicate that the Light Gradient Boosting Machine (LGBM) consistently outperforms other models based on key metrics. Robustness tests across different tail risk levels affirm LGBM as the optimal choice for energy market tail risk forecasting. Furthermore, model interpretability reveals that geopolitical risk indicators contribute significantly, with a 19.15 % impact on the forecasting model. Notably, the foreign exchange market, influences predictions by 15 %, while the monetary policy, contributes 12.19 %. Our findings have significant implications for regulators, industry practitioners, and investors seeking optimal tail risk forecasting during geopolitical conflicts.

本研究建立能源市场尾部风险的预测模型，重点研究地缘政治风险因素的预测作用。使用2000年至2024年的每日能源商品数据，本研究评估了机器学习模型的性能。结果表明，基于关键指标的光梯度增强机（LGBM）始终优于其他模型。不同尾部风险水平的鲁棒性检验证实LGBM是能源市场尾部风险预测的最优选择。此外，模型的可解释性表明，地缘政治风险指标对预测模型的影响显著，为19.15%。值得注意的是，外汇市场对预测的影响为15%，而货币政策的影响为12.19%。我们的研究结果对在地缘政治冲突中寻求最佳尾部风险预测的监管机构、行业从业者和投资者具有重要意义。

引用次数: 0

Portfolio implications based on quantile connectedness among cryptocurrency, stock, energy, and safe-haven assets 基于加密货币、股票、能源和避险资产之间分位数连通性的投资组合影响

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-07-07 DOI: 10.1016/j.jcomm.2025.100494

Yulian Zhang , Shigeyuki Hamori

We employ a quantile time-frequency connectedness model to investigate the interdependencies among four asset groups: cryptocurrencies (Bitcoin, Ethereum, and BNB), stocks (S&P 500, Euro Stoxx 50, FTSE 100, and Nikkei 225), safe-haven assets (gold, the US dollar, and treasury bills), and energy markets (oil, gas, coal, and electricity), using daily data from November 2017 to November 2024 (1625 observations). Our results reveal that, under normal market conditions, markets are more affected by their own shocks than by cross-market spillovers. This indicates that investors should pay closer attention to endogenous risks during stable periods. Moreover, we find that diversification across different asset classes is more effective under normal conditions, while investing within the same group may be more appropriate during bullish or bearish market phases. Market uncertainty also tends to rise as conditions become more extreme. This study is the first to confirm quantile-based connectedness both within and across asset classes in the time-frequency domain. Our findings contribute to a deeper understanding of market interactions and offer practical insights for investment decisions, portfolio management, and regulatory policy in an increasingly interconnected global financial environment.

我们采用分位数时频连通性模型来调查四个资产组之间的相互依赖性：加密货币（比特币、以太坊和BNB）、股票（标准普尔500指数、欧洲斯托克50指数、富时100指数和日经225指数）、避险资产（黄金、美元和国库券）和能源市场（石油、天然气、煤炭和电力），使用的是2017年11月至2024年11月的每日数据（1625次观察）。我们的研究结果表明，在正常的市场条件下，市场受自身冲击的影响大于受跨市场溢出效应的影响。这表明，在稳定时期，投资者应更加关注内生风险。此外，我们发现，在正常情况下，不同资产类别的多元化更有效，而在看涨或看跌市场阶段，在同一组投资可能更合适。随着情况变得更加极端，市场的不确定性也往往会上升。这项研究首次在时频域内确认了资产类别内部和资产类别之间基于分位数的连通性。我们的研究结果有助于加深对市场相互作用的理解，并为日益相互关联的全球金融环境中的投资决策、投资组合管理和监管政策提供实用见解。

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引用次数: 0

Assessing the impact of tax systems on investment incentives in future marine minerals projects on the Norwegian Continental Shelf 评估税收制度对挪威大陆架未来海洋矿物项目投资激励的影响

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-07-19 DOI: 10.1016/j.jcomm.2025.100497

Verena Hagspiel , Ådne Jonsbråten , Maxime Lesage , Filip Fremo Minge , Farida Mustafina

This study analyzes the impact of two principally different tax systems on potential investment decision-making in marine minerals projects, using the Norwegian Continental Shelf as a case study. The exploration phase of a project is modeled as a multistage decision process through which a company acquires information to reduce geological uncertainties about potential deposits. At different decision gates, the company decides whether it is optimal to continue exploration or abandon the deposits based on their expected economic viability. A dynamic valuation framework is used to evaluate the impact of potential tax systems on corporate decision-making concerning both the exploration of deposits and the project value resulting from the extraction of deposits. Specifically, a standard corporate tax system and variations of the Norwegian petroleum tax system are compared.

The findings suggest that a tax system similar to the Norwegian petroleum tax system, but with lower tax and refund rates, offers advantages for both companies and the states. Specifically, the petroleum tax system with a 30% total tax rate and a 25% refund rate yields the highest expected net present value for the company and reduces its exploration risks compared to the standard corporate tax system. While shifting parts of the exploration risks from the company to the state, the petroleum tax system with a 60% total tax rate and a 55% refund rate generates the highest net tax balance for the state. A trade-off tax system could be designed to share the risks inherent in mineral exploration and extraction, maintaining a balance between corporate and regulatory decision-makers by encouraging investment in the sector and ensuring sustainable economic benefits to the state.

本研究以挪威大陆架为例，分析了两种主要不同的税收制度对海洋矿产项目潜在投资决策的影响。一个项目的勘探阶段被建模为一个多阶段的决策过程，通过该过程，公司获取信息以减少潜在矿床的地质不确定性。在不同的决策阶段，公司根据预期的经济可行性来决定是继续勘探还是放弃该矿床。一个动态估值框架被用来评估潜在的税收制度对公司决策的影响，包括勘探矿藏和开采矿藏所产生的项目价值。具体来说，标准的公司税制度和挪威石油税制度的变化进行了比较。研究结果表明，类似于挪威石油税制度的税收制度，但税率和退税率较低，对公司和国家都有好处。具体来说，与标准公司税制度相比，30%的总税率和25%的退税率的石油税制度为公司带来了最高的预期净现值，并降低了勘探风险。虽然将部分勘探风险从公司转移到国家，但石油税收制度的总税率为60%，退税率为55%，为国家创造了最高的净税收余额。可以设计一种权衡税制度，以分担矿产勘探和开采的固有风险，通过鼓励对该行业的投资，并确保国家获得可持续的经济利益，保持企业和监管决策者之间的平衡。

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引用次数: 0

How financial markets respond to climate policy uncertainty: A dynamic resilience analysis 金融市场如何应对气候政策的不确定性：动态弹性分析

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-06-04 DOI: 10.1016/j.jcomm.2025.100490

Xiaoyang Yao, Sairidaer Maimaitijiang, Jianfeng Li, Wei Le

In the context of the global transition to a sustainable development, focusing on the impact of climate policy uncertainty (CPU) on financial markets is important to prevent green swan events. This paper analyzes the resilience of major stock and commodities markets to CPU shocks from the perspectives of absorption intensity and duration, which imply the ability to withdraw the shocks and recover from them, respectively. Based on these two aspects, we construct a resilience index and explore the impacts of macroeconomic conditions on resilience. We find that most markets exhibit negative responses to CPU shocks, except for natural gas and precious metals. Most markets’ resilience to CPU has intensified, whereas, traditional energy sectors and the agricultural commodities market still shown the most vulnerability to CPU shocks. Compared to negative causality, the macro-economic conditions show higher level of positive causality to resilience. An increase in macro-economic uncertainty can exacerbate the deterioration of market resilience.

在全球向可持续发展转型的背景下，关注气候政策不确定性（CPU）对金融市场的影响对于防止绿天鹅事件至关重要。本文从吸收强度和持续时间的角度分析了主要股票和商品市场对CPU冲击的弹性，这两个角度分别意味着从冲击中撤出和恢复的能力。基于这两个方面，我们构建了弹性指数，并探讨了宏观经济条件对弹性的影响。我们发现，除了天然气和贵金属之外，大多数市场对CPU冲击表现出负面反应。大多数市场对CPU的抵御能力已经增强，而传统能源部门和农产品市场仍然最容易受到CPU冲击。宏观经济条件对弹性的正向因果关系高于负向因果关系。宏观经济不确定性的增加会加剧市场弹性的恶化。

引用次数: 0

Extremal dependence in Australian electricity markets 对澳大利亚电力市场的极度依赖

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-05-02 DOI: 10.1016/j.jcomm.2025.100476

Lin Han , Ivor Cribben , Stefan Trück

Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the dependence between extreme spot price outcomes in the Australian National Electricity Market (NEM). We investigate extremal dependence both in a univariate and multivariate setting, applying the extremogram developed by Davis and Mikosch (2009) and Davis et al., 2011, Davis et al., 2012. We measure the persistence of extreme prices within individual regional markets and the transmission of extreme prices across different regions. With both 5-minute and 30-minute price data, we find that extreme prices are more persistent in the market with a higher share of intermittent renewable energy. We also find that the persistence of extreme prices is more prevalent in more concentrated markets. We also show significant extremal price dependence between different regions, which is typically stronger between physically interconnected markets. The dependence structure of extreme prices shows asymmetric and time-dependent patterns. Applying the extremograms, we further show the effectiveness of the Australian Energy Market Commission’s 2016 rebidding rule with respect to reducing the share of isolated price spikes that are often considered as an indication of strategic bidding. Our results provide important information for the hedging decisions of market participants and for policymakers who aim to reduce market volatility and extreme price outcomes through effective regulations that guide the trading behaviour of market participants as well as improved network interconnections.

电力市场的波动性明显高于其他可比较的金融或商品市场。极端的价格结果及其在地区间的传导给市场参与者带来了重大风险。我们研究了澳大利亚国家电力市场（NEM）的极端现货价格结果之间的依赖关系。我们使用Davis和Mikosch（2009）以及Davis等人（2011）和Davis等人（2012）开发的极值图研究了单变量和多变量设置中的极值依赖性。我们衡量了个别区域市场中极端价格的持久性，以及极端价格在不同地区之间的传导。通过5分钟和30分钟的价格数据，我们发现，在间歇性可再生能源占比较高的市场中，极端价格更为持久。我们还发现，极端价格的持续存在在更集中的市场中更为普遍。我们还显示，不同地区之间存在显著的极端价格依赖性，在物理上相互关联的市场之间，这种依赖性通常更强。极端价格的依赖结构呈现不对称和时间依赖的模式。应用极值图，我们进一步展示了澳大利亚能源市场委员会2016年重新竞标规则在减少孤立价格飙升份额方面的有效性，这些价格飙升通常被认为是战略竞标的指示。我们的研究结果为市场参与者的对冲决策和决策者提供了重要的信息，他们旨在通过有效的监管来指导市场参与者的交易行为以及改善网络互联来减少市场波动和极端价格结果。

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引用次数: 0

Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship 风险，不确定性，世界经济周期，以及美国股票和石油的关系

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-06-10 DOI: 10.1016/j.jcomm.2025.100491

André Varella Mollick

We examine in this paper the transmission of geopolitical risks (GPR), VIX, economic policy uncertainty (EPU), and “macro uncertainty” shocks to real WTI oil and U.S. stock returns (S&P 500). Structural vector autoregressions (SVAR) are applied to monthly data from 1990:1 to 2023:6 with identification based on long-run restrictions of impulse responses from risk/uncertainty measures to world industrial production. The main results are: First, oil prices respond positively to shocks in GPR and macro uncertainty in the short-run, but not to shocks in VIX and EPU. Second, stock returns respond negatively and for longer to both GPR and VIX shocks. Third, S&P 500 moves up with positive real WTI shocks for between 5 and 8 months, supporting favorable stock market reaction to oil fundamentals. By verifying shock contributions to real asset prices, the pair (GPR, VIX) outperforms other combinations of risk/uncertainty. Two-regime Markov-Switching VARs present satisfactory regime classification measures.

本文研究了地缘政治风险（GPR）、波动率指数（VIX）、经济政策不确定性（EPU）和“宏观不确定性”冲击对实际WTI原油和美国股票回报（标准普尔500指数）的传导。结构向量自回归（SVAR）应用于1990:1至2013:6期间的月度数据，并基于风险/不确定性措施对世界工业生产的脉冲响应的长期限制进行识别。主要结果是：首先，油价在短期内对GPR和宏观不确定性的冲击有积极的反应，但对VIX和EPU的冲击没有积极的反应。其次，股票回报对GPR和VIX冲击的反应为负，且持续时间更长。第三，标准普尔500指数在5到8个月的时间里随着西德克萨斯中质原油的积极冲击而上涨，支持股市对石油基本面的有利反应。通过验证冲击对实际资产价格的影响，该货币对（GPR， VIX）优于其他风险/不确定性组合。双状态马尔可夫开关var提供了令人满意的状态分类方法。

引用次数: 0

U.S. climate policy uncertainty shocks and the growth in renewable energy production 美国气候政策的不确定性冲击和可再生能源生产的增长

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-09-01 Epub Date: 2025-07-05 DOI: 10.1016/j.jcomm.2025.100493

James E. Payne , Saban Nazlioglu , Ahmet Koncak , Bradley T. Ewing

Investment in renewable energy production has been subject to swings in the U.S. policy stance on climate change creating uncertainty. Determining how and to what extent the renewable energy sector responds to climate policy uncertainty is relevant to understanding the energy transition from fossil fuels to renewables. This study examines the relationship between the growth in renewable energy production and its sub-components and climate policy uncertainty while accounting for oil price uncertainty and the growth in oil prices, industrial production, and carbon emissions, respectively. Utilizing generalized impulse response analysis within a vector autoregressive model framework, we find that total renewable energy production responds negatively to shocks to climate policy uncertainty but exhibits only a small positive response to oil price uncertainty. Further examination of renewable energy production by its sub-components (i.e., hydropower, biomass, geothermal, wind, and solar) shows that the time path responses to uncertainty shocks differ by sub-component. The findings suggest that policies to facilitate an energy transition by treating renewables similarly may not have the desired effects and thus should be tailored to individual sub-components to achieve targeted goals for renewable energy production.

可再生能源生产的投资一直受到美国气候变化政策立场摇摆的影响，造成了不确定性。确定可再生能源部门如何以及在多大程度上应对气候政策的不确定性，与理解从化石燃料到可再生能源的能源转型有关。本研究考察了可再生能源生产及其子成分的增长与气候政策不确定性之间的关系，同时分别考虑了油价的不确定性以及油价、工业生产和碳排放的增长。利用向量自回归模型框架内的广义脉冲响应分析，我们发现可再生能源生产总量对气候政策不确定性的冲击呈负响应，但对油价不确定性仅表现出微小的正响应。对可再生能源生产的子成分（即水电、生物质能、地热、风能和太阳能）的进一步研究表明，对不确定性冲击的时间路径响应因子成分而异。研究结果表明，通过类似对待可再生能源来促进能源转型的政策可能不会产生预期的效果，因此应该针对单个子组件进行定制，以实现可再生能源生产的目标。

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