【学术成果】经济管理学院教师马嫣然及其合作者在《Energy Economics》发表论文

发布时间:2021-10-06     作者:[经济管理学院]李彦昌    阅读:102

近日,经济管理学院教师马嫣然和姬强研究员、吴菲以及潘教峰研究员合作撰写的论文《Financialization, idiosyncratic information and commodity co-movement》发表在国际SSCI期刊《Energy Economics2021年第94期。该文获得了国家自然科学基金项目(720220207197418171774152)的支持。

  该文旨在识别和探讨国际商品市场收益协同运动的驱动因素。该文首先采用最小生成树和DCC-GARCH模型描述农产品市场、能源市场和金属市场中21种商品收益的协同运动情况。其次,该文构建关联网络模型对比分析一系列基本面因素和非基本面因素对商品收益协同运动的影响情况。实证结果表明,(1)能源商品收益的协同运动强度大于农产品和金属商品。(2)在样本期内,与基本面因素相比,商品市场金融化和市场情绪这些非基本面因素是驱动商品收益协同运动的关键因素。

Fig. 1. Return co-movement across 21 commodities, 2002–2019. Notes: In Fig. 1, the vertical axis represents the return co-movement among 21 commodities measured by MIt, the reciprocal of the total edge weight of the temporal minimum spanning tree. The horizontal axis shows the timeline.

Fig. 2. Return co-movements in agricultural, energy and metal commodity markets, 2002–2019. Notes: In Fig. 2, the vertical axis means the return co-movement of commodities. The horizontal axis means the date.

文章信息如下:Ma, Y. R., Ji, Q., Wu, F., & Pan, J. F. (2021) Financialization, idiosyncratic information and commodity co-movement. Energy Economics, 94, 105083. [IF 2020=7.042ABS三星级期刊].

全文链接:https://doi.org/10.1016/j.eneco.2020.105083