How do China's oil markets affect other commodity markets both domestically and internationally?

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作者:Ji, Q(Ji, Qiang)^[1];Fan, Y(Fan, Ying)^[2]

FINANCE RESEARCH LETTERS

卷: 19

页: 247-254

DOI: 10.1016/j.frl.2016.08.009

出版年: NOV 2016

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摘要

This study investigates the contemporaneous causality between China's oil markets with other commodity markets both domestically and internationally using an error correction model combined with a directed acyclic graph technique. The results indicate that China's oil markets are cointegrated with other commodity markets both domestically and internationally. The impact of China's fuel oil futures market on other domestic commodity markets is great when oil prices are high, but the influence is comparatively weak when oil prices are lower. However, due to the lack of futures market, China's crude oil market has little influence on other commodity markets at any time. (C) 2016 Elsevier Inc. All rights reserved.

关键词

作者关键词:Information transmission;Directed acyclic graph method;Commodity market

KeyWords Plus:WORLD OIL;CRUDE-OIL;PRICES;VOLATILITY;CAUSALITY

作者信息

通讯作者地址:Ji, Q (通讯作者)

Chinese Acad Sci, Ctr Energy & Environm Policy Res, Inst Policy & Management, Beijing 100190, Peoples R China.

地址:

	[ 1 ] Chinese Acad Sci, Ctr Energy & Environm Policy Res, Inst Policy & Management, Beijing 100190, Peoples R China
	[ 2 ]Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

电子邮件地址:jqwxnjq@163.com