Dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metal futures market

Tianding Zhang and Song Zeng

Resources Policy, 2023, vol. 80, issue C

Abstract: This paper analyses the dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metals futures by combining the application of Copula and CoVaR models, considering the effects of structural breaks and the frequency of cycles. The results show a positive linkage between crude oil and China's non-ferrous metals, with significant long-period comovement. Upside risk in crude oil prices can generate stronger extreme shocks to non-ferrous metals, as evidenced by the outbreak of COVID-19 in 2020. Compared to zinc and aluminum, copper is more susceptible to risk spillovers from crude oil, particularly in the event of a downside trend in crude oil. In addition, WTI crude oil and Brent crude oil show some variability in the upper and lower tail spillover effects. Our research explained to some extent the time-varying, cyclical and asymmetric impact on the non-ferrous metal futures market under crude oil shocks, which can be informative for industry planners, regulators, and investors in making targeted decisions. It is mainly the case when dealing with the many effects of geopolitical conflicts, trade frictions, and commodity supply and demand mismatches.

Keywords: Crude Oil; China's non-ferrous metals; Comovement; Risk spillovers; Cycle (search for similar items in EconPapers)
JEL-codes: F65 Q02 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722007061
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722007061

DOI: 10.1016/j.resourpol.2022.103263

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().