 Network analysis of risk transmission among energy futures: An industrial chain perspectiveRuolan Ouyang, Chengkai Zhuang, Tingting Wang and Xuan Zhang Energy Economics, 2022, vol. 107, issue C Abstract: The fluctuation of energy prices has a great impact on the economy, making it essential to analyze the risk transmission among energy commodities. In this paper, we use the minimum spanning tree (MST) approach and connectedness method to study the risk transmission among energy futures in China. Eleven commodities, including two globally traded crude oil, are considered. Four major results are obtained. First, MST analysis provides evidence of industry clustering. Second, the risk transmission is generally from the petrochemical sector to the coal sector; while the risk transmission in each sector mainly spills from upstream to the downstream products. Third, “methanol - polyethylene” bridges the coal sector and petrochemical sector, through which the link between the two sectors has been strengthened since the outbreak of COVID-19. Fourth, the systemic risk of the energy market has increased, and several commodities have experienced a role reversal in the network since the pandemic began, especially in the petrochemical sector. Keywords: Network analysis; Energy futures; Risk transmission; Industrial chain (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988321006332 DOI: 10.1016/j.eneco.2021.105798 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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