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The Impact of Oil Shocks on Systemic Risk of the commodity markets

Journal of Systems Science & Complexity 2024年第6期37卷 2697-2720页

作者： DAI Zhifeng WU Tong College of Mathematics and Statistics Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering Changsha University of Science and Technology

This study examines the influence of oil shocks on systemic risk spillover among the commodity markets. Specifically, this paper uses the DCC-GARCH approach combined with the TVP-VAR model to calculate risk connectedness and the GARCH-MIDAS model to explore how oil shocks from different sources affect the risk spillover effects among the commodity markets. The results are the following: First, there are significant risk spillovers among the commodity markets with important time-varying characteristics and with sharp changes in times of crisis. The industrial metals, agriculture, precious metals, and light energy commodity markets are risk recipients, and the energy and livestock commodity markets are risk exporters. Second, oil price shocks, particularly oil aggregate demand shocks, prominently affect the total risk connectedness among the commodity markets. In particular, the impact on the net risk spillover effect of different commodity market differs.

关键词： commodity markets connectedness GARCH-MIDAS model oil price shocks systemic risk

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Representation of Infinite-Dimensional Forward Price Models in commodity markets

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Communications in Mathematics and Statistics 2014年第1期2卷 47-106页

作者： Fred Espen Benth Paul Krühner Centre of Mathematics for Applications University of OsloP.O.Box 1053Blindern0316 OsloNorway Department of Mathematics University of OsloP.O.Box 1053Blindern0316 OsloNorway

We study the forward price dynamics in commodity markets realised as a process with values in a Hilbert space of absolutely continuous functions defined by Filipovi´c(Consistency problems for Heath–Jarrow–Morton interest rate models,2001).The forward dynamics are defined as the mild solution of a certain stochastic partial differential equation driven by an infinite-dimensional Lévy *** is shown that the associated spot price dynamics can be expressed as a sum of Ornstein–Uhlenbeck processes,or more generally,as a sum of certain stationary *** results link the possibly infinite-dimensional forward dynamics to classical commodity spot *** continue with a detailed analysis of multiplication and integral operators on the Hilbert spaces and show that Hilbert–Schmidt operators are essentially integral *** covariance operator of the Lévy process driving the forward dynamics and the diffusion term can both be specified in terms of such operators,and we analyse in several examples the consequences on model dynamics and their probabilistic ***,we represent the forward price for contracts delivering over a period in terms of an integral operator,a case being relevant for power and gas *** several examples,we reduce our general model to existing commodity spot and forward dynamics.

关键词： Forward price Infinite-dimensional stochastic processes Lévy processes commodity markets Heath–Jarrow–Morton approach

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