Dynamic jumps in global oil price and its impacts on China's bulk commodities
Feng Liu and
Energy Economics, 2018, vol. 70, issue C, 297-306
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.
Keywords: Oil price jumps; Spillover effects; Bulk commodities; ARJI model melioration (search for similar items in EconPapers)
JEL-codes: D53 O13 O16 P28 P34 Q41 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:70:y:2018:i:c:p:297-306
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
Bibliographic data for series maintained by Dana Niculescu ().