Research

14 pages, 306 KiB

Open AccessArticle

The Influence of the Banking Sector on Economic Growth and Commodity Prices: A Panel Data Analysis of Spain, France, and Romania

by Houssem Eddine Hamdaoui and Maite Cancelo

Commodities 2024, 3(2), 168-181; https://doi.org/10.3390/commodities3020011 (registering DOI) - 24 Apr 2024

Abstract

This study aims to investigate the impact of the banking sector on economic growth and commodity prices. Through panel data analysis, the research explores the relationship between the banking sector and economic growth in Spain, France, and Romania from 2000 to 2020. The [...] Read more.

This study aims to investigate the impact of the banking sector on economic growth and commodity prices. Through panel data analysis, the research explores the relationship between the banking sector and economic growth in Spain, France, and Romania from 2000 to 2020. The findings reveal a positive correlation between the strength of the banking sector and economic growth across these nations, underscoring its pivotal role in fostering economic expansion and subsequently improving commodity prices. Additionally, this study evaluates various regulatory measures crucial ensuring the banking sector’s sustainability and preventing financial crises, including credit risk management, lending policies, liquidity constraints, and international financing and investment strategies. By analyzing the interplay between regulatory measures and banking sector performance, incorporating variables such as non-performing loans, household debt, liquid liabilities, government consumption expenditure, foreign investments, and trade openness, this research provides policymakers with valuable insights to formulate effective strategies for promoting economic stability and ensuring the sustainability and growth of the banking sector. Full article

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

13 pages, 1123 KiB

Open AccessArticle

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 - 09 Feb 2024

Viewed by 704

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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18 pages, 726 KiB

Open AccessArticle

by Sèna Kimm Gnangnon

Commodities 2024, 3(1), 1-18; https://doi.org/10.3390/commodities3010001 - 20 Dec 2023

Viewed by 669

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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16 pages, 4407 KiB

Open AccessArticle

Analyzing Risk Premiums in the Brazilian Power Market: A Quantitative Study

by Tarjei Kristiansen

Commodities 2023, 2(4), 382-397; https://doi.org/10.3390/commodities2040022 - 01 Nov 2023

Viewed by 917

Abstract

This paper conducts an empirical analysis of risk premiums in the Brazilian electricity market, a critical but understudied field. Employing two distinct methodologies—Average Forward Prices and Last Observed Forward Prices—the study calculates risk premiums between spot and forward electricity prices. Our analysis consistently [...] Read more.

This paper conducts an empirical analysis of risk premiums in the Brazilian electricity market, a critical but understudied field. Employing two distinct methodologies—Average Forward Prices and Last Observed Forward Prices—the study calculates risk premiums between spot and forward electricity prices. Our analysis consistently identifies negative risk premiums, which serve as indicators that the market may be underestimating certain types of risk. These underestimations are potentially influenced by inherent market uncertainties, including volatile demand, unpredictable supply, and frequent regulatory shifts. Additionally, we observe a high volatility in risk premiums, signifying a dynamic and ever-changing market where expectations are continuously recalibrated. Such conditions present possible arbitrage opportunities for market actors and underline the need for policymakers to introduce measures mitigating market unpredictability. By focusing on these nuances, this paper enriches the broader discourse on risk premiums in electricity markets and underscores the necessity for further research aimed at devising effective risk management strategies. Full article

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

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19 pages, 1104 KiB

Open AccessArticle

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

by Amel Melki and Ahmed Ghorbel

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

Cited by 1 | Viewed by 1580

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 [...] Read more.

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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13 pages, 882 KiB

Open AccessArticle

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

by Jungho Baek

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

Viewed by 1360

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 [...] Read more.

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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21 pages, 669 KiB

Open AccessArticle

Price Transmission: The Case of the UK Dairy Market

by Rachel Rose and Dimitrios Paparas

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

Cited by 1 | Viewed by 2236

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 [...] Read more.

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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21 pages, 3798 KiB

Open AccessArticle

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

by Ramadas Sendhil, Kashish Arora, Sunny Kumar, Priyanka Lal, Arnab Roy, 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 2 | Viewed by 3044

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. [...] Read more.

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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15 pages, 1480 KiB

Open AccessArticle

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

by 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 2 | Viewed by 2032

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 [...] Read more.

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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15 pages, 7754 KiB

Open AccessArticle

Oil Prices and Exchange Rates: Measurement Matters

by Jaime Marquez

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

Cited by 3 | Viewed by 1746

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 [...] Read more.

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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