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Special Issue "Uncertainty, Economic Risk and Commodities Markets"

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A special issue of Commodities (ISSN 2813-2432).

Deadline for manuscript submissions: 1 December 2023 | Viewed by 8022

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Prof. Dr. Jungho Baek

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Department of Economics, College of Business and Security Management, University of Alaska, Fairbanks, AK 99775, USA
Interests: international trade; energy economics; the economics of environment and trade and econometric modeling
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Special Issue Information

Dear Colleagues,

The COVID-19 pandemic has resulted in a dramatic impact on commodities markets. During the period of 2020–21, for example, the pandemic was responsible for record highs for gold and record lows for crude oil. The recent war in Ukraine, on the other hand, has caused major supply disruptions and led to historically high prices for a number of commodities markets. In particular, the rise in energy prices over the year has been the largest since the 1973 oil crisis. Thus, the comprehensive ripple effects of the COVID-19 pandemic and the war in Ukraine have had profound implications for global commodities markets. The purpose of this Special Issue is to provide a collection of high-quality research papers covering a wide range of topics on new insights into commodities markets under uncertainty. We welcome original empirical and theoretical contributions to any aspects of soft commodities markets, such as agricultural products, and hard commodities markets, such as gold, rubber, natural gas, and crude oil. We also welcome papers related to recently developed commodities markets, such as emissions and electricity.

Prof. Dr. Jungho Baek
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Commodities is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

COVID-19
uncertainty
soft commodities markets
hard commodities markets
agricultural commodities
crude oil
natural gas
econometric modeling
economic risk

Published Papers (6 papers)

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Research

Open AccessArticle

Which Commodity Sectors Effectively Hedge Emerging Eastern European Stock Markets? Evidence from MGARCH Models

Amel Melki

and

Ahmed Ghorbel

Commodities 2023, 2(3), 261-279; https://doi.org/10.3390/commodities2030016 - 03 Aug 2023

Viewed by 763

Abstract

This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors. As an attempt to achieve this goal, we opt for three types of MGARCH model. These are DCC, ADCC and GO-GARCH, which are used with each bivariate series to model dynamic conditional correlations, optimal hedge ratios and hedging effectiveness. Rolling window analysis is used for out-of-sample one-step-ahead forecasts from December 1994 to June 2022. The results have shown that the commodities sectors of industrial metals and energy represent the optimal hedging instruments for emerging Eastern Europe stock markets as they have the highest hedging effectiveness. Additionally, our empirical results have proved that hedge ratios estimated by the DCC and ADCC models are very similar, which is not the case for GO-GARCH, and that hedging effectiveness is preferably estimated by the ADCC model. Full article

(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)

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Open AccessArticle

Oil Prices, World Trade Policy Uncertainty, and the Trade Balance: The Case of Korea

Jungho Baek

Commodities 2023, 2(3), 188-200; https://doi.org/10.3390/commodities2030012 - 26 Jun 2023

Viewed by 492

Abstract

This article studies the asymmetric effects that the price of crude oil has on Korean exports to and imports from its largest partners—China, the U.S., and Japan—controlling for world trade policy uncertainty. The results support the evidence of the long-run asymmetry of oil prices for Korea’s exports to Japan, and imports from China and Japan. However, there is no evidence of the short-run asymmetry of oil prices. Finally, world trade policy uncertainty appears to be more important for determining Korea’s bilateral trade in the short run than in the long run. Full article

(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)

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Open AccessArticle

Price Transmission: The Case of the UK Dairy Market

Rachel Rose

and

Dimitrios Paparas

Commodities 2023, 2(1), 73-93; https://doi.org/10.3390/commodities2010004 - 20 Mar 2023

Viewed by 1290

Abstract

The UK milk market has faced major economic difficulties over the last 20 years, seeing the smallest milk producers exit the industry. The key objective of this study is to examine price transmission within the UK milk market to understand the market’s efficiency and influences. An Augmented Dickey–Fuller unit root test identified all the examined series were stationary at the first difference. A modified Dickey–Fuller test allows for levels and trends that differ across a single break date and Bai–Perron test identified multiple structural breaks, including January 2012, July 2015, and November 2017. The Johansen cointegration test identified one cointegrating factor. The Error Correction Model results identified that prices would regain equilibrium at 14%, roughly 7 months after a price shock. Granger Causality identified the producer to granger cause retailer prices. The Threshold Autoregressive model suggests the dataset is symmetric. Econometric research into the UK’s liquid milk market is limited. As such, this study will provide an understanding as to whether current econometric policies are working, alongside the potential to aid the improvement or development of new policies while the UK exits the EU. Additionally, this study includes structural breaks as previous studies have failed to do so, which has led to a mixture of results. Full article

(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)

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Open AccessArticle

Price Dynamics and Integration in India’s Staple Food Commodities—Evidence from Wholesale and Retail Rice and Wheat Markets

Ramalingam Jayakumara Varadan

Sivasankar Vedi

and

Anandan Pouchepparadjou

Commodities 2023, 2(1), 52-72; https://doi.org/10.3390/commodities2010003 - 28 Feb 2023

Cited by 1 | Viewed by 1806

Abstract

Uncertain price movement in staple food commodities puts agrarian economies at risk if not monitored and managed consistently. Hence, an attempt has been made to analyze the price behavior and integration across major wholesale and retail markets for rice and wheat in India. Monthly data (July 2000 to June 2022) on prices viz. wholesale and retail were sourced from the Food and Agriculture Organization and analyzed using growth rate, instability index, seasonal price index, Bai-Perron’s test for structural breaks, Johansen’s test on cointegration, Granger causality test, and impulse response function. Findings indicated strong evidence of price dynamics in the selected markets in terms of spatial and temporal variation, clear-cut seasonality linking to production, and price divergence between wholesale and retail markets. Johansen’s test indicated a strong cointegration between wholesale and retail prices after accounting for structural breaks, exhibiting unidirectional-, bidirectional- and no causality. Impulse response analysis revealed that the selected wheat and rice markets are efficient in terms of ‘price discovery’ which takes place initially in the wholesale market, and is then transmitted to the retail market. The study advocates decision-making information to the producers, traders, and consumers who are interested in taking advantage of the price movement. It is concluded that strengthening the market intelligence and reducing the distortion in markets will improve the existing overall performance. Full article

(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)

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Open AccessArticle

The Influence of Ukraine’s Foreign Grain Trade through Romania on Prices

Maria Cristina Sterie

Ionut Laurentiu Petre

and

Iulia Bianca Bogos

Commodities 2022, 1(2), 152-166; https://doi.org/10.3390/commodities1020010 - 11 Nov 2022

Cited by 1 | Viewed by 1562

Abstract

The objective of the present research was to determine the external influence of the grain trade, i.e., the influence of Ukraine’s grain trade through Romania on price levels recorded at Romania’s borders. The research methods to achieve this objective consisted of quantitative and qualitative analyses of wheat and maize imports and export data from the beginning of 2022 to the present, as well as using the t-stat test to determine the existence of significant price differences, and the linear regression model. The research results confirm that there were differences between the two pre- and post-military conflict periods regarding the volume of imports from Ukraine and the increase in the supply of wheat and maize from Romania, through this trade activity, led to changes in prices. Full article

(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)

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Open AccessArticle

Oil Prices and Exchange Rates: Measurement Matters

Jaime Marquez

Commodities 2022, 1(1), 50-64; https://doi.org/10.3390/commodities1010005 - 12 Sep 2022

Cited by 2 | Viewed by 1304

Abstract

This paper examines the relevancy of price measurement for characterizing the relation between real oil prices and real exchange rates. The current empirical literature shows a consensus on using the U.S. CPI to deflate the nominal oil price simply because of its numerous advantages. However, reliance on the U.S. CPI assumes that the worldwide alternative to a barrel of oil is the U.S. consumption basket. There are, however, alternative baskets, and I consider two: the price of gold and the IMF Global Commodity Price Index. Inspection of the results reveals that the relation between real oil prices and real exchange rates is sensitive to the choice of deflator for the price of oil and to the use of effective or bilateral exchange rates. Specifically, using the IMF’s Global Commodity Price Index as a deflator reveals that real oil prices and real exchange rates (effective or bilateral) are clustered along a long-run relation with unitary elasticity. Further, this choice of deflator has the lowest forecast errors. To be sure, much work remains to be completed along the lines of measurement and estimation methods. However, extending the results of this paper will emphasize its main point—namely, that measurement matters. Full article

(This article belongs to the Special Issue Uncertainty, Economic Risk and Commodities Markets)

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