Risk spillover effects from global crude oil market to China’s commodity sectors

Juan Meng, He Nie, Bin Mo and Yonghong Jiang

Energy, 2020, vol. 202, issue C

Abstract: We analyzed the impact of upside and downside global crude oil price fluctuation on China’s commodity sectors. To do this, we utilized a series of copula functions, both static and dynamic, to assess the average spillovers across marginal and joint extreme movements in the upward/downward directions between crude oil and China’s commodity sectors. The time-varying Copula-conditional value-at-risk (CoVaR) method can well analyze the spillover effects of upside and downside global crude oil price fluctuation on China’s commodity sectors. The weekly data of crude oil price and China’s commodity sectors are applied and the empirical results indicate that there are upside and downside risk spillover effects from global crude oil to China’s commodity sectors. The degree of the downside spillover effect from crude oil price is larger than that of the upside spillover effect, indicating asymmetric spillover effects. Due to the greater impact of downside risk spillover effects on China’s commodity sectors, investors should more carefully consider the downside risk from global crude oil when assessing portfolio risk.

Keywords: Spillover effects; Crude oil; Commodity sectors; Portfolio management (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:202:y:2020:i:c:s0360544220303157

DOI: 10.1016/j.energy.2020.117208

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