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Stress from attention: The relationship between climate change attention and crude oil markets J. Commod. Mark. (IF 3.317) Pub Date : 2024-03-06 Boqiang Lin, Yiyang Chen, Xu Gong
Investors' focus on specific topics could translate into actual trading behavior, subsequently influencing market prices. Within the crude oil market, the issue of climate change risk arising from carbon emissions has garnered considerable attention recently, as investors' search behavior regarding this topic may impact crude oil prices. Based on the search information provided by Google, this paper
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On the estimation of Value-at-Risk and Expected Shortfall at extreme levels J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-22 Emese Lazar, Jingqi Pan, Shixuan Wang
The estimation of risk at extreme levels (such as 0.1%) can be crucial to capture the losses during market downturns, such as the global financial crisis and the COVID-19 market crash. For many existing models, it is challenging to estimate risk at extreme levels. In order to improve such estimation, we develop a framework to estimate Value-at-Risk and Expected Shortfall at an extreme level by extending
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Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-15 Michel A. Robe, John S. Roberts
The CFTC’s Commitments of Traders reports (DCOT and SCOT) are a key source of information about the open interest in commodity derivatives markets. While informative, these publications leave open four important questions. (1) Do traders that hold large positions every single day make up most of the total open interest? How big is that “market core”? (2) What is the relation between DCOT figures on
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Cross-hedging wild salmon prices J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-13 Rune Nygaard, Kristin H. Roll
A number of studies have documented that there is a global market for salmon, in which wild and farmed salmon have a common price determination process. Recent studies report that Norwegian farmed salmon spot prices are also highly correlated with the Fish Pool salmon future contract price, indicating that the futures market can be an important risk management tool, as producers and buyers can hedge
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Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-13 Yanqiong Liu, Yaoqi Guo, Qing Wei
In this paper, we select 75 indicators to conduct a comprehensive analysis of the factors influencing the copper price along six dimensions: inventory, supply, demand, the macroeconomy, finance, and geopolitics. Facing the high-dimensionality problem, we use the least absolute shrinkage and selection operator (LASSO) regression model to select variables to measure the contribution of each category
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USDA reports affect the stock market, too J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-06 An N.Q. Cao, Thomas Heckelei, Octavian Ionici, Michel A. Robe
We document that the stock prices of food-sector firms react to USDA news. The economic and statistical significance of the effect depends on the commodity, type of scheduled USDA report, and direction and extent to which the USDA information surprises the market. Individual stock price responses to USDA news differ between firms on the input-side . firms on the output-side of agricultural (farm) production
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Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-05 Priti Biswas, Prachi Jain, Debasish Maitra
We study the immediate impact of heightened geopolitical tensions caused by the Russia-Ukraine war, on volatility connectedness networks of 18 global stock markets and 5 major commodities. Our analyses reveal a shift in connectedness spillovers during the war: while crude oil (a net shock transmitter before the war) became a net shock receiver, shocks transmitted by crude oil net importers appear to
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How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence J. Commod. Mark. (IF 3.317) Pub Date : 2024-02-05 Lu-Tao Zhao, Hai-Yi Liu, Xue-Hui Chen
As climate change becomes an important global issue and the global energy transformation accelerates, the complex risk transmission among carbon, energy, and stock markets is a concern. However, the majority of the existing studies are restricted to the time domain. This paper explores the risk spillovers of carbon, energy, and sectoral stock markets based on the time-frequency spillover approaches
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Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis J. Commod. Mark. (IF 3.317) Pub Date : 2024-01-31 Nikolaos Kyriazis, Stephanos Papadamou, Panayiotis Tzeremes, Shaen Corbet
This study examines dynamic connectedness linkages between precious metals, manufacturing metals, oil, natural gas, and Bitcoin. The Quantile-VAR methodology is utilised to identify causal spillovers from 2015 through 2022, where results demonstrate significantly stronger pairwise connectedness at extreme quantiles, where the gold–silver and copper–oil pairs exhibit the strongest linkages. Additionally
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Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility J. Commod. Mark. (IF 3.317) Pub Date : 2024-01-08 Gabriel D. Bunek, Joseph P. Janzen
The provision of public information in commodity markets is justified in part by the idea that public information generates consensus among market participants about the fundamental value of the commodity and reduces price volatility. Significant reductions in options-implied volatility following report releases have been presented as evidence of this market-calming effect. We scrutinize this finding
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Option pricing revisited: The role of price volatility and dynamics J. Commod. Mark. (IF 3.317) Pub Date : 2023-12-30 Jean-Paul Chavas, Jian Li, Linjie Wang
The analysis of option pricing in derivative markets has commonly relied on the Black-Scholes model. This paper presents a conceptual and empirical analysis of option pricing with a focus on the validity of key assumptions embedded in the Black-Scholes model. Going beyond questioning the lognormality assumption, we investigate the role played by two assumptions made about the nature of price dynamics:
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Quantile coherency across bonds, commodities, currencies, and equities J. Commod. Mark. (IF 3.317) Pub Date : 2023-12-20 Gazi Salah Uddin, Brian Lucey, Md Lutfur Rahman, David Stenvall
This paper examines quantile coherency in bonds, commodities, currencies, and equities using a novel quantile coherency approach. While recent literature has explored single-frequency tail- and time-frequency dependence in asset returns, we provide fresh evidence on asset return dependence across quantiles (proxying business cycles or market conditions) at different frequencies (representing investment
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Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress J. Commod. Mark. (IF 3.317) Pub Date : 2023-12-15 Jinxin Cui, Aktham Maghyereh
This study investigates linkages and connectedness among geopolitical risks, systemic stress, and commodity futures (energy, precious metals, industrial metals, and agricultural commodities). We combine the 22-day rolling ex-post higher-order moments with a novel Quantile-VAR extended joint connectedness framework. Our findings highlight the significant impacts of geopolitical risks and systemic stress
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Forecasting the price of oil: A cautionary note J. Commod. Mark. (IF 3.317) Pub Date : 2023-12-06 Thomas Conlon, John Cotter, Emmanuel Eyiah-Donkor
We study the out-of-sample predictability of monthly crude oil prices using forecast combinations constructed from several individual predictor forecasts. Our empirical results indicate that combination forecasts of monthly average oil prices are more accurate than the no-change forecast with statistically significant reductions in mean square forecast errors (MSFE) and significant directional accuracy
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Revisiting the pricing impact of commodity market spillovers on equity markets J. Commod. Mark. (IF 3.317) Pub Date : 2023-11-24 Francisco Pinto-Ávalos, Michael Bowe, Stuart Hyde
This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023. We confirm the correlation between these asset prices increases around episodes of financial distress. Prior research attributes this increase to the effects of contagion initiated by commodity price shocks. However, we find that after controlling
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Tail risk spillover effects in commodity markets: A comparative study of crisis periods J. Commod. Mark. (IF 3.317) Pub Date : 2023-11-20 Muhammad Abubakr Naeem, Foued Hamouda, Sitara Karim
This research aims to investigate the propagation of extreme downside risk, commonly referred to as tail risk, within commodity markets using an innovative CAViaR-based connectivity model. We also evaluate the influence of various crises, including the global financial crisis, the shale oil revolution, the COVID-19 pandemic, and the Russia-Ukraine conflict, on the dynamic relationships among seventeen
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World regional natural gas prices: Convergence, divergence or what? New evidence J. Commod. Mark. (IF 3.317) Pub Date : 2023-11-01 Jose Roberto Loureiro, Julian Inchauspe, Roberto F. Aguilera
Mixed and outdated natural gas price convergence results have caused confusion among analysts and strongly call for a comprehensive revision of the topic. The issue has been exacerbated with the recent rampant increase in LNG trade and the emergence of new gas spot trading hubs. Filling the gap, this study conducts growth convergence testing and clustering analysis on a panel comprised of four established
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How are climate risk shocks connected to agricultural markets? J. Commod. Mark. (IF 3.317) Pub Date : 2023-10-20 Kun Guo, Yichong Li, Yunhan Zhang, Qiang Ji, Wanli Zhao
In the climate-sensitive agricultural sector, product prices are particularly susceptible to climate risks. In this study, we constructed three novel climate risk perception indices—a climate policy uncertainty index, a climate physical risk index, and a climate concern index—using natural language processing and text mining to investigate their differential effects on bulk agricultural prices. The
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Commodity prices under the threat of operational disruptions: Labor strikes at copper mines J. Commod. Mark. (IF 3.317) Pub Date : 2023-10-17 Viviana Fernandez, Boris Pastén-Henríquez, Pablo Tapia-Griñen, Rodrigo Wagner
The threat of short-term supply disruptions may matter for commodity prices, although their magnitude is hard to detect, for example due to anticipation, storage and to the relatively short duration of disruption events. This article explores global commodity returns for copper around labor strikes in Chile mines between 1910 and 2010. In the five days around strikes, copper display cumulative abnormal
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Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach J. Commod. Mark. (IF 3.317) Pub Date : 2023-10-16 Michael Gaete, Rodrigo Herrera
This study provides a thorough analysis of the dynamics of volatility and dependence among seven international equity and 20 commodity markets across different sectors, highlighting the hedging role played by the latter. We explain volatility using a specification that distinguishes between the short and long terms. At the same time, the dependence structure is modeled through a time-varying conditional
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Hedging with futures during nonconvergence in commodity markets J. Commod. Mark. (IF 3.317) Pub Date : 2023-10-11 Alankrita Goswami, Berna Karali, Michael K. Adjemian
Hedging in grain futures markets offers market participants the opportunity to mitigate the price risk in spot markets by taking offsetting positions in futures. The performance of a traditional minimum variance hedge ratio (MVHR) relies on the correlation between the spot and futures price changes. During 2005–2010, delivery-location cash prices for several crops decoupled from the prices for their
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The evolution of commodity market financialization: Implications for portfolio diversification J. Commod. Mark. (IF 3.317) Pub Date : 2023-09-21 Renée Fry-McKibbin, Kate McKinnon
The financialization of commodity markets is a well-documented phenomenon spurred by the massive growth of institutional funds directed into commodity indices from the mid-2000s. More recent research suggests that a subsequent era of de-financialization has coincided with the retreat of institutional investors. This paper uses a latent factor model to examine the dynamic impact of commodity market
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Exploring volatility of crude oil intraday return curves: A functional GARCH-X model J. Commod. Mark. (IF 3.317) Pub Date : 2023-09-15 Gregory Rice, Tony Wirjanto, Yuqian Zhao
Crude oil intraday return curves collected from commodity futures markets often appear to be serially uncorrelated and long-range conditionally heteroscedastic. We model this stylised feature with a newly proposed functional GARCH-X model and use it to forecast crude oil intraday volatility. The predicted intraday volatility provides important economic implications in crude oil commodity futures markets
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What moves commodity terms-of-trade? Evidence from 178 countries J. Commod. Mark. (IF 3.317) Pub Date : 2023-09-11 Yousef Makhlouf, Neil M. Kellard, Dmitri Vinogradov
Despite the important impact of commodity terms-of-trade (CTOT) on GDP growth, child mortality rates and public debt, little is known about its determinants. Using data from 178 countries (grouped according to their commodity export-import structure) over the period 1962 to 2020, we examine the short-and long-run effects of global economic activity, OECD and emerging markets growth, the exchange rate
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Estimation of value at risk for copper J. Commod. Mark. (IF 3.317) Pub Date : 2023-08-18 Konstantinos Gkillas, Christoforos Konstantatos, Spyros Papathanasiou, Mark Wohar
We analyze various types of models for Value at Risk (VaR) forecasts for daily copper returns. The period of the analysis is from January 4, 2000 to January 14, 2021 including 5290 daily closing prices. The models considered are GARCH-type models, the Generalized Autoregressive Score model, the Dynamic Quantile Regression model, and the Conditional Autoregressive Value at Risk model specifications
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Psychological price barriers, El Niño, La Niña: New insights for the case of coffee J. Commod. Mark. (IF 3.317) Pub Date : 2023-07-25 Mark J. Holmes, Jesús Otero
This paper investigates the possibility of psychological barriers in the price dynamics of seven types of coffee varieties over a twenty-year period. When prices are expressed in hundreds of cents, barriers surrounding the round number prices ending in 00 are confirmed for the high quality coffees. The dynamics of coffee price returns differ before and after breaches of hypothesised barriers. Using
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Oil–gas price relationships on three continents: Disruptions and equilibria J. Commod. Mark. (IF 3.317) Pub Date : 2023-07-21 Christoph Halser, Florentina Paraschiv, Marianna Russo
In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan between 2009 and 2021. The results suggest a stronger oil–gas link for all investigated markets after 2019, significantly impacted by fundamental supply and demand factors. However, the strength of the equilibria link differs
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Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions? J. Commod. Mark. (IF 3.317) Pub Date : 2023-07-20 Faruk Balli, Hatice O Balli, Thi Thu Ha Nguyen
The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher
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A review of the literature on LNG: Hubs development, market integration, and price discovery J. Commod. Mark. (IF 3.317) Pub Date : 2023-07-18 Yuri Hupka, Ivilina Popova, Betty Simkins, Thomas Lee
This study provides a literature review of academic research related to liquefied natural gas (LNG) hubs development and market integration. Studies show that Asian markets lack a transparent pricing benchmark which exists in North American and European markets. As a result, the formation of functional LNG market hubs in the Asia Pacific region will take time. Early research evidence suggests a strongly
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Parametric heat wave insurance J. Commod. Mark. (IF 3.317) Pub Date : 2023-07-06 Karl Larsson
This paper proposes a flexible framework for structuring and pricing parametric heat wave insurance. The framework is based on a general heat wave definition formulated in terms of an underlying temperature index. The definition can be varied in terms of the heat wave duration, intensity, measurement period and underlying index. This construction makes it straightforward to create contracts tailored
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Wheat price volatility regimes over 140 years: An analysis of daily price ranges J. Commod. Mark. (IF 3.317) Pub Date : 2023-07-05 Marco Haase, Heinz Zimmermann, Matthias Huss
We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that volatility shifts between regimes are statistically more pronounced than fluctuations within regimes, even when conditioning on economic states. Historical volatility estimates derived from average
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ETP tracking of U.S. agricultural and energy markets J. Commod. Mark. (IF 3.317) Pub Date : 2023-06-17 Shamar L. Stewart, Olga Isengildina Massa, Colburn Hassman, Maximo de Leon
This study assesses the tracking performance of several futures-backed commodity exchange-traded funds (ETFs), single commodity exchange-traded notes (ETNs), and commodity sector ETNs relevant to agricultural market participants. We decompose total tracking errors into managerial and arbitrage components. Our findings reveal that the arbitrage process is the primary driver of observed tracking errors
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Determinants and dynamic interactions of trader positions in the gold futures market J. Commod. Mark. (IF 3.317) Pub Date : 2023-06-11 Yu-Lun Chen, Wan-Shin Mo
We investigate the determinants of different traders’ trading positions in the gold futures market. With a threshold value determined endogenously by our model, we find that when the gold futures price falls below the threshold, money managers adopt positive feedback trading strategies while swap dealers adopt negative feedback trading strategies. When the futures price rises above the threshold, money
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The impact of financialization on the efficiency of commodity futures markets J. Commod. Mark. (IF 3.317) Pub Date : 2023-06-07 Martin T. Bohl, Scott H. Irwin, Alexander Pütz, Christoph Sulewski
The pronounced inflow of financial capital from index investors over the last 15 years and the accompanying substantial fluctuations in commodity futures markets have aroused public and academic interest. A common accusation made in this context is that commodity index traders (CITs) negatively influence the quality of commodity futures markets and keep them far from fundamentally justified price levels
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Do spot market auction data help price discovery? J. Commod. Mark. (IF 3.317) Pub Date : 2023-05-30 Adrian Fernandez-Perez, Joëlle Miffre, Tilman Schoen, Ayesha Scott
This paper contributes to the price discovery literature by establishing, for the first time, the role of commodity spot market auction data. Using the New Zealand whole milk powder market as an example, we show that auction-level data explain the price discovery dynamics above and beyond determinants previously identified as being relevant to spot and futures market price formation. In particular
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Explaining intraday crude oil returns with higher order risk-neutral moments J. Commod. Mark. (IF 3.317) Pub Date : 2023-05-30 Patrick Wong
High frequency crude oil option data is used to extract the higher order risk-neutral moments from the crude oil market. These risk-neutral moments include the variance, third central moment and the recently developed tail risk variation measures. We find it is beneficial to disaggregate these risk-neutral moments into their semi-moments, and to work with their log differences instead of the level
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Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy J. Commod. Mark. (IF 3.317) Pub Date : 2023-05-18 Gan-Ochir Doojav, Davaajargal Luvsannyam, Elbegjargal Enkh-Amgalan
This paper assesses the effects and transmission mechanisms of global liquidity and commodity market shocks in Mongolia, a commodity-exporting developing economy, using a structural vector autoregression (SVAR) model. Results show that boom and bust cycles in commodity and international financial markets lead to business and financial cycles in the economy as these shocks account for 30, 45, and 60
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Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model J. Commod. Mark. (IF 3.317) Pub Date : 2023-05-15 Xiaoli L. Etienne, Sara Farhangdoost, Linwood A. Hoffman, Brian D. Adam
An alternative futures-based procedure is developed to forecast the season-average farm price for U.S. corn, an under-researched price forecast. The new method performs similarly or better than two widely-watched season-average price forecasts, i.e., the World Agricultural Supply and Demand Estimates and the Hoffman futures-based forecasts, at the beginning of the post-harvest season and just as well
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Carr and Wu’s (2020) framework in the oil ETF option market J. Commod. Mark. (IF 3.317) Pub Date : 2023-05-13 Xiaolan Jia, Xinfeng Ruan, Jin E. Zhang
This paper studies the information inferred from the Carr and Wu’s (2020) formula based on a new option pricing framework in the United States Oil Fund (USO) options. We first document the term structure and dynamics of the risk-neutral variance and covariance rates which lead to a “U”-shaped implied volatility smile with a positive curvature. We then investigate the return predictability of the innovations
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A Bayesian perspective on commodity style integration J. Commod. Mark. (IF 3.317) Pub Date : 2023-04-28 Ana-Maria Fuertes, Nan Zhao
Commodity style integration is appealing because by forming a unique long-short portfolio with exposure to K mildly correlated factors, a larger and more stable risk premium can be extracted than with any of the standalone styles. A key decision that a commodity style-integration investor faces at each rebalancing time is the relative weighting of the factors. We propose a Bayesian optimized style-integration
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Corporate commodity exposure: A multi-country longitudinal study J. Commod. Mark. (IF 3.317) Pub Date : 2023-04-20 Xu Han, Elaine Laing, Brian M. Lucey, Samuel Vigne
This paper conducts a large-scale multi-country longitudinal study and examines the extent that firms are exposed to commodity price risk in 23 OECD countries. An industry analysis reveals that all industries are significantly exposed to commodity price movements ranging between 8 and 10% except for the energy sector where 38% of firms being significantly exposed. Investigating the determinants of
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Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures J. Commod. Mark. (IF 3.317) Pub Date : 2023-03-23 Juncal Cunado, Ioannis Chatziantoniou, David Gabauer, Fernando Perez de Gracia, Marfatia Hardik
This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net transmitter of shocks in the network across all quartiles. The dynamic total connectedness is heterogeneous
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Quantifying impacts of competition and demand on the risk for fertilizer plant locations J. Commod. Mark. (IF 3.317) Pub Date : 2023-03-15 William W. Wilson, Sumadhur Shakya
Fertilizer is an essential commodity traded in international and domestic markets and spatial competition is important feature impacting interfirm rivalry. In the case of North American fertilizer, numerous plants have been announced to either expand or open new plants (nitrogen-based fertilizer plants), exerting competitive pressures on an industry with surplus capacity but highly competitive in terms
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Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective J. Commod. Mark. (IF 3.317) Pub Date : 2023-03-04 Jinxin Cui, Aktham Maghyereh
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Financialization of commodity markets ten years later J. Commod. Mark. (IF 3.317) Pub Date : 2023-01-28 Wenjin Kang, Ke Tang, Ningli Wang
In this study, we examine whether the key findings in Tang and Xiong (2012) hold in the more recent sample years after their publication. We also explore the impact of financialization on different aspects of commodity futures markets in more detail. Our analysis shows that financialization leads to a significant increase of the correlation between the commodity and stock market returns. This return
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Microstructure and high-frequency price discovery in the soybean complex J. Commod. Mark. (IF 3.317) Pub Date : 2023-01-27 Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, Joost M.E. Pennings, Philippe Debie
We develop a theoretical framework and propose a relevant empirical analysis of the soybean-complex prices’ cointegration relationships in a high-frequency setting. We allow for heterogeneous expectations among traders on the multi-asset price dynamics and characterize the resulting market behaviour. We demonstrate that the asset prices’ autoregressive matrix rank and the speed of reversion towards
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Commodities failing in auctions: The story of unsold cod in Norway J. Commod. Mark. (IF 3.317) Pub Date : 2023-01-07 Geir Sogn-Grundvåg, Dengjun Zhang
This study addresses how commodities that go unsold at auction perform when they are subsequently sold directly or at auction. Given that the share of unsold commodities is up to 50% in some markets, this is an important yet neglected topic. With a unique dataset including approximately 40,000 frozen Atlantic cod transactions, with detailed information about each lot, including if it was previously
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Theory of storage implications in the European natural gas market J. Commod. Mark. (IF 3.317) Pub Date : 2023-01-02 Beatriz Martínez, Hipòlit Torró
The theory of storage stands that futures prices should be equal to the spot price plus the interest forgone in storing the commodity and the warehousing costs minus the convenience yield on the inventory. In this paper, we test several implications of the theory of storage on the pricing of United Kingdom natural gas futures. We obtain partial evidence for the theory of storage as a complete explanation
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Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets J. Commod. Mark. (IF 3.317) Pub Date : 2022-12-28 Yu Wei, Yizhi Wang, Brian M. Lucey, Samuel A. Vigne
Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been widely discussed since Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to explain and forecast volatilities in precious metal markets. By using the GARCH-MIDAS model incorporating cryptocurrency
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Speculation or actual demand? The return spillover effect between stock and commodity markets J. Commod. Mark. (IF 3.317) Pub Date : 2022-12-24 Shu Wang, Baicheng Zhou, Tianshu Gao
This article measures the return spillovers between the Chinese and American stock markets and the international commodity market and explores the dominant factors of such cross-market spillovers based on both actual demand and speculative behavior. By adopting a time-varying analysis framework covering many economic variables, we find that there is an increasing trend toward intermarket linkage. (i)
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Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic J. Commod. Mark. (IF 3.317) Pub Date : 2022-12-22 Martin Enilov, Walid Mensi, Petar Stankov
This paper investigates the tail behavior patterns of commodity assets, the risk exposure of these assets, and how they rank given their safe haven properties. We use state-of-the-art dynamic generalized autoregressive score models to jointly estimate tail risk measures for ten commodity assets (aluminum, copper, crude oil, gasoline, gold, heating oil, lead, soybeans, tin, and wheat) over the period
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Volatility in US dairy futures markets J. Commod. Mark. (IF 3.317) Pub Date : 2022-12-22 Zaifeng Fan, Jeff Jump, Yiuman Tse, Linda Yu
US dairy futures markets of Class III milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing system. We find that dairy volatilities have a relatively low connectedness among themselves and the overall commodity market. We develop a price information uncertainty measure to investigate dairy markets’ response to government-released information
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Equilibrium and real options in the ethanol industry: Modeling and empirical evidence J. Commod. Mark. (IF 3.317) Pub Date : 2022-10-15 Matt Davison, Nicolas Merener
In the last twenty years a large number of ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at or beyond the mandate set by the government. We propose an equilibrium model for blenders and producers that accounts
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Gold risk premium estimation with machine learning methods J. Commod. Mark. (IF 3.317) Pub Date : 2022-10-15 Juan D. Díaz, Erwin Hansen, Gabriel Cabrera
This paper assesses the accuracy of several machine learning models’ predictions of the gold risk premium when using an extensive set of 186 predictors. We perform an out-of-sample evaluation and consider both statistical and portfolio metrics. Our results show that machine learning methods and forecast combinations have a limited ability to outperform the historical mean when predicting the gold risk
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Trading time seasonality in electricity futures J. Commod. Mark. (IF 3.317) Pub Date : 2022-10-12 Ståle Størdal, Christian-Oliver Ewald, Gudbrand Lien, Erik Haugom
Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed for varying maturities. This type of seasonality is linked to the pricing kernel which in turn accounts for seasonal changes in preferences of agents and tied to risk aversion and thus
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Commodity futures return predictability and intertemporal asset pricing J. Commod. Mark. (IF 3.317) Pub Date : 2022-10-03 John Cotter, Emmanuel Eyiah-Donkor, Valerio Potì
We find out-of-sample predictability of commodity futures excess returns using combination forecasts of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean–variance investor. Commodity return forecasts are closely linked to the real economy. Return predictability is countercyclical