Dynamic jumps in global oil price and its impacts on China's bulk commodities

Chuanguo Zhang, Feng Liu, Danlin Yu

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

This paper investigated the impacts of oil price shocks, especially dynamic jumps in its returns on China's bulk commodity markets at both the aggregate and industry levels. After setting a zero lower bound to the jump intensity of the ARJI model, we found that dynamic jumps exist in oil price movements. Moreover, under shocks of oil price jumps, not only the returns but also the risks of China's bulk commodity markets are affected significantly, and the reactions of risks are characterized by “overreactions”. Meanwhile, by decomposing oil price shocks into expected positive (negative), and unexpected positive (negative) components, we discovered that the impacts of unexpected shocks are positive and significantly asymmetric at both levels, while those of the expected shocks are negative and insignificantly asymmetric at the industry level. In addition, the volatility clustering of all price movements and the permanent volatility effects on China's bulk commodities are also authenticated by applying the GARCH family models.

Original languageEnglish
Pages (from-to)297-306
Number of pages10
JournalEnergy Economics
Volume70
DOIs
StatePublished - Feb 2018

    Fingerprint

Keywords

  • ARJI model melioration
  • Bulk commodities
  • Oil price jumps
  • Spillover effects

Cite this