TY - JOUR
T1 - The effect of global oil price shocks on China's precious metals market
T2 - A comparative analysis of gold and platinum
AU - Zhang, Chuanguo
AU - Shi, Xueyang
AU - Yu, Danlin
N1 - Publisher Copyright:
© 2018 Elsevier Ltd
PY - 2018/6/10
Y1 - 2018/6/10
N2 - This paper investigated the impacts of global crude oil price shocks on China's precious metals market using the meliorated autoregressive conditional jump intensity (ARJI) model (Chan and Maheu, 2002) and the extended autoregressive moving average-generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) (Gronwald, 2012), based on the comparative analysis of gold and platinum markets. The results showed that discrete jumps existed in the crude oil market. Considering the volatility clustering of oil returns, the effect of oil price expected shocks on precious metals market was negative (−0.7025,-1.3341), due to the profitability of capital; While that of unexpected shocks was positive (0.0211,0.0645), which can be explained by the adaptive expectation theory. In terms of discrete jumps, the impact of current jumps on precious metals market was significantly negative (−1.4810,-2.6775), according to the risk transmission theory, and the responses tended to be characterized by “overreactions”. In addition, some evidence also suggested permanent volatility effects in China's precious metals market.
AB - This paper investigated the impacts of global crude oil price shocks on China's precious metals market using the meliorated autoregressive conditional jump intensity (ARJI) model (Chan and Maheu, 2002) and the extended autoregressive moving average-generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) (Gronwald, 2012), based on the comparative analysis of gold and platinum markets. The results showed that discrete jumps existed in the crude oil market. Considering the volatility clustering of oil returns, the effect of oil price expected shocks on precious metals market was negative (−0.7025,-1.3341), due to the profitability of capital; While that of unexpected shocks was positive (0.0211,0.0645), which can be explained by the adaptive expectation theory. In terms of discrete jumps, the impact of current jumps on precious metals market was significantly negative (−1.4810,-2.6775), according to the risk transmission theory, and the responses tended to be characterized by “overreactions”. In addition, some evidence also suggested permanent volatility effects in China's precious metals market.
KW - ARJI model
KW - ARMA-CSGARCH model
KW - Crude oil market
KW - Oil price shocks
KW - Precious metals market
KW - Spillover effects
UR - http://www.scopus.com/inward/record.url?scp=85044149090&partnerID=8YFLogxK
U2 - 10.1016/j.jclepro.2018.03.154
DO - 10.1016/j.jclepro.2018.03.154
M3 - Article
AN - SCOPUS:85044149090
SN - 0959-6526
VL - 186
SP - 652
EP - 661
JO - Journal of Cleaner Production
JF - Journal of Cleaner Production
ER -
