Impact of Commodity Market Risk on Listed Companies

2020 ◽  
pp. 89-98
Author(s):  
Bogdan Włodarczyk ◽  
Alberto Burchi ◽  
Marek Szturo
Keyword(s):  
Listed Companies ◽  
Market Risk ◽  
Commodity Market

On commodity market risk premiums: Additional evidence

1985 ◽  
Vol 5 (1) ◽  
pp. 121-125 ◽  
Author(s):  
Jennefer Baxter ◽  
Thomas E. Conine ◽  
Maurry Tamarkin
Keyword(s):  
Market Risk ◽  
Commodity Market ◽  
Risk Premiums

scholarly journals Commodity market risk from 1995 to 2013: an extreme value theory approach

2015 ◽  
Vol 47 (26) ◽  
pp. 2768-2782 ◽  
Author(s):  
Torun Fretheim ◽  
Glenn Kristiansen
Keyword(s):  
Extreme Value Theory ◽  
Market Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Commodity Market ◽  
Theory Approach

scholarly journals Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

2022 ◽  
Vol 9 ◽  
Author(s):  
Shuaishuai Jia ◽  
Hao Dong ◽  
Zhenzhen Wang
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Market Risk ◽  
Test Method ◽  
Commodity Market ◽  
Oil Market ◽  
Channel Effect ◽  
The Impact ◽  
Financial Market Risk

The impact channel of crude oil market risk on the macroeconomy is highly related to oil attributes. This paper uses a stepwise test method with dummy variables to identify the channel effect of commodity market risk as well as financial market risk and explore the characteristics of the channel effect in different periods dominated by different oil attributes. Furthermore, this paper investigates the asymmetric characteristics of the channel effect under the condition of crude oil returns heterogeneity. The empirical results show that: First, commodity market risk, as well as financial market risk plays a channel role in the impact of crude oil market risk on the macroeconomic operation. Second, there is a significant difference in the ability of the commodity market and financial market to cope with shocks of crude oil market risk in periods dominated by different attributes. During the period dominated by the commodity attribute of oil, both commodity market and financial market play the role of “risk buffer”; during the period dominated by dual attributes of oil, the commodity market risk plays the role of “risk buffer”, while the financial market risk plays the role of “magnifier” of the crude oil market risk. Third, the channel effect pattern and degree of commodity market risk and financial market risk are significantly asymmetric.

scholarly journals Commodity Market Heterogeneity and Cross-Market Integration

2017 ◽  
Vol 6 (01) ◽  
pp. 16-27
Author(s):  
Michael Kunkler
Keyword(s):  
Risk Factor ◽  
Interest Rate ◽  
Market Integration ◽  
Market Risk ◽  
Commodity Futures ◽  
Commodity Market ◽  
The Us ◽  
Us Dollar ◽  
Asset Classes ◽  
Fx Market

We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financial-crisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in commodity futures returns. The commodity-market risk factor is significantly correlated with the dominant market-wide risk factors from other asset classes: +66.7% with a market risk factor for the US equity market; -74.2% with a US dollar risk factor for the FX market; and -27.8% with an interest-rate level risk factor for the US interest rate market. Thus, a part of the systematic variation in the commodity market is integrated with other asset classes.

Sign in / Sign up

Export Citation Format

Share Document