超越波动:相互关联的商品市场中的系统复原力和风险缓解

IF 13.6 2区 经济学 Q1 ECONOMICS Energy Economics Pub Date : 2024-10-12 DOI:10.1016/j.eneco.2024.107953
Vipul Kumar Singh , Pawan Kumar
{"title":"超越波动:相互关联的商品市场中的系统复原力和风险缓解","authors":"Vipul Kumar Singh ,&nbsp;Pawan Kumar","doi":"10.1016/j.eneco.2024.107953","DOIUrl":null,"url":null,"abstract":"<div><div>In today's interconnected commodity markets, understanding volatility spillover dynamics is crucial. This research builds on Diebold &amp; Yilmaz (2012, 2014) to estimate System Resilience, a vital measure for investors and policymakers. By using connectedness-based estimates, a unique stability score for each system component is constructed and aggregated to estimate overall System Resilience. This concept is applied to three key commodity segments: Energy, Agriculture, and Metals. Results show that most commodities, especially bullion, maintain moderate stability, offering investment alternatives even during periods of heightened systemic risk. The study also examines rolling estimates of System Resilience to identify early warning signals through increased standard deviation in successive resilience series. Tipping points indicate critical slowdowns where recovery to a stable state is hindered. Findings suggest that apart from the Global Financial Crisis (GFC), commodity portfolios remain relatively stable. The implications are significant for energy policymakers, traders, and financial investors. Early detection of warning signals supports strategic risk management. This research contributes to academic discourse and provides actionable insights, highlighting the importance of early warning indicators in enhancing financial resilience in an ever-evolving market landscape. It underscores the value of foresight in navigating global financial stability.</div></div>","PeriodicalId":11665,"journal":{"name":"Energy Economics","volume":"140 ","pages":"Article 107953"},"PeriodicalIF":13.6000,"publicationDate":"2024-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Beyond volatility: Systemic resilience and risk mitigation in interconnected commodity markets\",\"authors\":\"Vipul Kumar Singh ,&nbsp;Pawan Kumar\",\"doi\":\"10.1016/j.eneco.2024.107953\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>In today's interconnected commodity markets, understanding volatility spillover dynamics is crucial. This research builds on Diebold &amp; Yilmaz (2012, 2014) to estimate System Resilience, a vital measure for investors and policymakers. By using connectedness-based estimates, a unique stability score for each system component is constructed and aggregated to estimate overall System Resilience. This concept is applied to three key commodity segments: Energy, Agriculture, and Metals. Results show that most commodities, especially bullion, maintain moderate stability, offering investment alternatives even during periods of heightened systemic risk. The study also examines rolling estimates of System Resilience to identify early warning signals through increased standard deviation in successive resilience series. Tipping points indicate critical slowdowns where recovery to a stable state is hindered. Findings suggest that apart from the Global Financial Crisis (GFC), commodity portfolios remain relatively stable. The implications are significant for energy policymakers, traders, and financial investors. Early detection of warning signals supports strategic risk management. This research contributes to academic discourse and provides actionable insights, highlighting the importance of early warning indicators in enhancing financial resilience in an ever-evolving market landscape. It underscores the value of foresight in navigating global financial stability.</div></div>\",\"PeriodicalId\":11665,\"journal\":{\"name\":\"Energy Economics\",\"volume\":\"140 \",\"pages\":\"Article 107953\"},\"PeriodicalIF\":13.6000,\"publicationDate\":\"2024-10-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Energy Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0140988324006613\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0140988324006613","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

摘要

在当今相互关联的商品市场中,了解波动溢出动态至关重要。本研究以 Diebold & Yilmaz(2012 年,2014 年)为基础,对投资者和政策制定者的重要衡量标准--系统弹性进行估算。通过使用基于连通性的估算,为每个系统组件构建了一个独特的稳定性分数,并将其汇总以估算整体系统复原力。这一概念适用于三个关键商品领域:能源、农业和金属。结果显示,大多数商品,尤其是金银,都保持了适度的稳定性,即使在系统性风险加剧的时期,也能提供投资选择。该研究还检查了系统复原力的滚动估算值,通过连续复原力序列中标准偏差的增加来识别预警信号。临界点表示恢复到稳定状态受到阻碍的临界放缓。研究结果表明,除全球金融危机(GFC)外,大宗商品投资组合保持相对稳定。这对能源政策制定者、交易商和金融投资者来说意义重大。及早发现预警信号有助于战略风险管理。这项研究为学术讨论做出了贡献,并提供了可行的见解,强调了预警指标在不断变化的市场环境中增强金融复原力的重要性。它强调了前瞻性在驾驭全球金融稳定方面的价值。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Beyond volatility: Systemic resilience and risk mitigation in interconnected commodity markets
In today's interconnected commodity markets, understanding volatility spillover dynamics is crucial. This research builds on Diebold & Yilmaz (2012, 2014) to estimate System Resilience, a vital measure for investors and policymakers. By using connectedness-based estimates, a unique stability score for each system component is constructed and aggregated to estimate overall System Resilience. This concept is applied to three key commodity segments: Energy, Agriculture, and Metals. Results show that most commodities, especially bullion, maintain moderate stability, offering investment alternatives even during periods of heightened systemic risk. The study also examines rolling estimates of System Resilience to identify early warning signals through increased standard deviation in successive resilience series. Tipping points indicate critical slowdowns where recovery to a stable state is hindered. Findings suggest that apart from the Global Financial Crisis (GFC), commodity portfolios remain relatively stable. The implications are significant for energy policymakers, traders, and financial investors. Early detection of warning signals supports strategic risk management. This research contributes to academic discourse and provides actionable insights, highlighting the importance of early warning indicators in enhancing financial resilience in an ever-evolving market landscape. It underscores the value of foresight in navigating global financial stability.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
期刊介绍: Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.
期刊最新文献
Zooming in or zooming out: Energy strategy, developmental parity and regional entrepreneurial dynamism How financial derivatives affect energy firms' ESG The performance of renewable-rich wholesale electricity markets with significant energy storage and flexibility Retraction notice to “Geopolitical oil price uncertainty transmission into core inflation: Evidence from two of the biggest global players” Energy Economics Volume 126, October 2023, 106,983. Novel and old news sentiment in commodity futures markets
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1