Financial risk management innovation in global commodity futures markets: A macroeconomic attention perspective

Xinjie Lu, Feng Ma, Qiang Guo and Tianyang Wang

Pacific-Basin Finance Journal, 2025, vol. 92, issue C

Abstract: Financial risk management innovation is of vital importance in the commodity futures markets due to it has gone a rollercoaster ride with twists and turns in recent years. This study aims to comprehensively explore the risk management innovation in global commodity futures markets by applying some novel macroeconomic indices. More specifically, we examine the predictive information of eight macroeconomic attention indices constructed by Fisher et al. (2022) for nineteen commodity price indices using a new series of hybrid models integrating with random forest and dimensionality reduction models. Empirical results show that macroeconomic attention indices can efficiently provide predictive information for commodity futures market volatility. Additionally, we discovered that combining random forest and SPCA models can obtain a relatively better performance for the global commodity futures markets, even during the COVID-19 pandemic period. This study offers a new research perspective on the relationship between global commodity futures markets and the macroeconomic attention index, providing financial risk management innovation significance for research and practices.

Keywords: Financial innovation; Risk management; Commodity futures markets; Macroeconomic attention; Business cycles (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X25001374
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001374

DOI: 10.1016/j.pacfin.2025.102800

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().