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

Author

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  • Lu, Xinjie
  • Ma, Feng
  • Guo, Qiang
  • Wang, Tianyang

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.

Suggested Citation

  • Lu, Xinjie & Ma, Feng & Guo, Qiang & Wang, Tianyang, 2025. "Financial risk management innovation in global commodity futures markets: A macroeconomic attention perspective," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
    • Handle: RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001374
    DOI: 10.1016/j.pacfin.2025.102800
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