Extreme risk spillovers between SC, WTI and Brent crude oil futures-Evidence from time-varying Granger causality test

Xiaohang Ren, Yue He, Chuanwang Liu and Lizhu Tao

Energy, 2025, vol. 320, issue C

Abstract: This research delves into the dynamics of extreme risks within the global crude oil futures market, with a particular focus on the Shanghai Crude Oil futures (SC). By employing Value-at-Risk and Expected Shortfall metrics, the study evaluates extreme risk across SC, West Texas Intermediate (WTI), and Brent markets. Our analysis incorporates a time-varying Granger causality framework to examine the directional influence among these markets, with significant intensifications observed during the COVID-19 pandemic and the Russia-Ukraine conflict. This underscores SC's evolving role from a risk receiver to a risk transmitter within the global oil complex. Additionally, this study observes a stronger causal effect of WTI's extreme risks on Brent compared to the reverse, and a notable increase in the bidirectional causality between WTI and Brent during stressful market conditions. These findings enhance the understanding of risk transmission mechanisms in the oil market and have practical implications for risk management, policy formulation, and investment strategies in the context of escalating global uncertainties.

Keywords: Crude oil futures; Extreme risks; Time-varying Granger causality; Risk spillovers (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0360544225011375
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:energy:v:320:y:2025:i:c:s0360544225011375

DOI: 10.1016/j.energy.2025.135495

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

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