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 Journal of Commodity Markets Pub Date : 2024-10-05 DOI:10.1016/j.jcomm.2024.100437
John Hua Fan , Adrian Fernandez-Perez , Ivan Indriawan , Neda Todorova
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引用次数: 0

摘要

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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When Chinese mania meets global frenzy: Commodity price bubbles
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.
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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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