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Commodities, Volume 3, Issue 1 (March 2024) – 8 articles

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12 pages, 1412 KiB  
Article
Obtaining Accurate Gold Prices
by Amit K. Sinha
Commodities 2024, 3(1), 115-126; https://doi.org/10.3390/commodities3010008 - 13 Mar 2024
Viewed by 790
Abstract
Gold prices have been of major interest for a lot of investors, analysts, and economists. Accordingly, a number of different modeling approaches have been used to forecast gold prices. In this manuscript, the geometric Brownian motion approach, used in the pricing of numerous [...] Read more.
Gold prices have been of major interest for a lot of investors, analysts, and economists. Accordingly, a number of different modeling approaches have been used to forecast gold prices. In this manuscript, the geometric Brownian motion approach, used in the pricing of numerous types of assets, is used to forecast the prices of gold at yearly, monthly, and quarterly frequencies. This approach allows for simulating one-period-ahead prices and the associated probabilities. The expected prices obtained from the simulated prices and probabilities are found to provide reliable forecasts when compared with the observed yearly, monthly, and quarterly prices. Full article
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0 pages, 471 KiB  
Article
Green Ammonia Production in Stochastic Power Markets
by Ezio Lauro, Amélie Têtu and Hélyette Geman
Commodities 2024, 3(1), 98-114; https://doi.org/10.3390/commodities3010007 - 6 Mar 2024
Viewed by 847
Abstract
Real assets in the energy market are subject to ecological uncertainty due to the penetration of renewables. We illustrate this point by analyzing electrolyzers, a class of assets that recently became the subject of large interest, as they lead to the production of [...] Read more.
Real assets in the energy market are subject to ecological uncertainty due to the penetration of renewables. We illustrate this point by analyzing electrolyzers, a class of assets that recently became the subject of large interest, as they lead to the production of the desirable green hydrogen and green ammonia. The latter has the advantage of being easily stored and has huge potential in decarbonizing both the fertilizer and shipping industries. We consider the optimization of green ammonia production with different types of electricity procurement in the context of stochastic power and ammonia markets, a necessary assumption to translate the features of renewable, hence intermittent, electricity. We emphasize the importance of using stochastic prices to model the volatile nature of the price dynamics effectively, illustrating the project risks that hedging activities can mitigate. This study shows the pivotal role of flexibility when dealing with fluctuating renewable production and volatile electricity prices to maximize profits and better manage risks. Full article
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23 pages, 2128 KiB  
Article
Crude Oil Price Movements and Institutional Traders
by Celso Brunetti, Jeffrey H. Harris and Bahattin Büyükşahin
Commodities 2024, 3(1), 75-97; https://doi.org/10.3390/commodities3010006 - 29 Feb 2024
Viewed by 477
Abstract
We analyze the role of hedge fund, swap dealer, and arbitrageur activity in the crude oil market. The contribution of our work is to examine the role of institutional traders in switching between high-volatility and low-volatility regimes. Using confidential position data on institutional [...] Read more.
We analyze the role of hedge fund, swap dealer, and arbitrageur activity in the crude oil market. The contribution of our work is to examine the role of institutional traders in switching between high-volatility and low-volatility regimes. Using confidential position data on institutional investors, we first analyze the linkages between trader positions and fundamentals. We find that these institutional position changes reflect fundamental economic factors. Subsequently, we adopt a Markov regime-switching model with time-varying probabilities and find that institutional position changes contribute incrementally to the probability of regime changes. Full article
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13 pages, 1123 KiB  
Article
Does Crude Oil Production Respond Differently to Oil Supply and Demand Shocks? Evidence from Alaska
by Jungho Baek
Commodities 2024, 3(1), 62-74; https://doi.org/10.3390/commodities3010005 - 9 Feb 2024
Viewed by 805
Abstract
The paper conducts extensive research on how Alaska’s oil production is affected by shocks in oil supply, aggregate demand, and oil-specific demand under both symmetric and asymmetric scenarios. We demonstrate that employing an empirical model with the inclusion of an asymmetric assumption provides [...] Read more.
The paper conducts extensive research on how Alaska’s oil production is affected by shocks in oil supply, aggregate demand, and oil-specific demand under both symmetric and asymmetric scenarios. We demonstrate that employing an empirical model with the inclusion of an asymmetric assumption provides a more suitable approach for comprehensively understanding the short and long-term impacts of various oil shocks on Alaska’s oil production. We also find that Alaska’s oil production is significantly affected by oil supply and aggregate demand shocks over both short and long periods, whereas oil-specific demand shocks have a minimal impact. Finally, our research identifies asymmetric effects in the long term, particularly concerning the influence of aggregate demand and oil-specific demand shocks on Alaska’s oil production. However, no asymmetric effects are observed for the three oil shocks in the short term. Full article
(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)
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23 pages, 6121 KiB  
Article
Financial Market Stress and Commodity Returns: A Dynamic Approach
by Ramesh Adhikari and Kyle J. Putnam
Commodities 2024, 3(1), 39-61; https://doi.org/10.3390/commodities3010004 - 24 Jan 2024
Viewed by 900
Abstract
This paper examines the relationship between commodity index returns and the Office of Financial Research Financial Stress Index (OFR FSI). Utilizing the S&P GSCI and its five sub-indices (agriculture, livestock, energy, industrial metals, and precious metals), we find that the causal relationship between [...] Read more.
This paper examines the relationship between commodity index returns and the Office of Financial Research Financial Stress Index (OFR FSI). Utilizing the S&P GSCI and its five sub-indices (agriculture, livestock, energy, industrial metals, and precious metals), we find that the causal relationship between financial market stress and commodity index returns is conditional on the sample period examined and the methodology employed. We also note that stress in financial markets has a negative relationship with commodity index returns during low commodity return states; however, during high commodity return states, financial market stress exhibits a positive relationship with commodity index returns. Our findings highlight the importance of considering a time-varying framework for analyzing commodity return dynamics. Full article
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3 pages, 152 KiB  
Editorial
Navigating the Complex Landscape of Economic Research Concerning Commodities
by Jungho Baek
Commodities 2024, 3(1), 36-38; https://doi.org/10.3390/commodities3010003 - 11 Jan 2024
Viewed by 470
Abstract
As we delve into the realm of economic research concerning commodities, it becomes increasingly evident that the contemporary world is marked by constant change and evolving dynamics [...] Full article
17 pages, 2673 KiB  
Article
Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries
by Roman Kopych and Viktor Shevchuk
Commodities 2024, 3(1), 19-35; https://doi.org/10.3390/commodities3010002 - 20 Dec 2023
Viewed by 907
Abstract
Using quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the [...] Read more.
Using quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the time-varying parameters. Our main findings can be summarized in the following way: (i) higher crude oil prices are inflationary in most of the countries (except Slovakia), with a stronger price effect since 2020; (ii) crude oil prices are neutral with respect to output growth in 4 out of 8 countries, with an expansionary effect in Croatia, Slovenia, and Romania, as well as a contractionary effect in Slovakia, but the crude oil shock of 2021–2022 seems to be expansionary in almost all countries (except Slovakia), regardless of the exchange rate regime practiced; (iii) inflation and output effects of metals prices are quite heterogeneous across countries; (iv) agricultural raw material prices play a role in both inflation and output growth only in Bulgaria and Poland. Since 2021, a growing inflationary impact of crude oil prices suggests a stronger monetary policy reaction to the oil shock, especially in the presence of its favorable output effect. Full article
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18 pages, 726 KiB  
Article
Trade-Related Government Expenditure and Developing Countries’ Participation in Global Value Chains
by Sèna Kimm Gnangnon
Commodities 2024, 3(1), 1-18; https://doi.org/10.3390/commodities3010001 - 20 Dec 2023
Viewed by 776
Abstract
The effect of trade-related government expenditure on backward and forward participation in global value chains (GVCs) is at the heart of the present analysis. The latter builds on an unbalanced panel dataset of 74 developing countries over the annual period from 2005 to [...] Read more.
The effect of trade-related government expenditure on backward and forward participation in global value chains (GVCs) is at the heart of the present analysis. The latter builds on an unbalanced panel dataset of 74 developing countries over the annual period from 2005 to 2018. It has used several estimators, the primary one being the Quantile via Moments approach. The outcomes suggest that trade-related government expenditure exerts no significant effect on countries’ forward participation in GVCs. At the same time, countries located in the 20th to 90th quantiles experience a positive and significant effect of trade-related government expenditure on backward participation in GVCs, with the magnitude of this positive effect being larger for countries in the upper quantiles than for countries in the lower quantiles. The least integrated countries into the backward participation in GVCs (i.e., those in the 10th quantile) experience no significant effect of trade-related government expenditure on backward participation in GVCs. Interestingly, expenditure in favour of developing economic infrastructure, and expenditure for enhancing productive capacities reinforce each other in positively affecting backward GVC participation by countries located in the upper quantiles (i.e., the 50th to 90th quantiles). However, the interaction between these two types of trade-related government expenditure does not influence countries’ forward participation in GVCs. These findings shed light on the importance of trade-related expenditure for enhancing developing countries’ participation in backward GVCs. Full article
(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)
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