 Spillover dynamics among commodities along the Chinese oil industrial chain: From the perspective of multidimensional networksYajie Qi, Jiangyao Bai and Shuhao Liu International Review of Economics & Finance, 2024, vol. 96, issue PB Abstract: This paper investigates the dynamic spillover effects of major commodity prices within the Chinese oil industrial chain. By integrating the Granger causality test with the BEKK-GARCH model, a multidimensional spillover network is constructed to comprehensively analyze the price spillover relationships between commodities from 2013 to 2019. The study finds that crude oil price volatility is the primary driver of spillovers to other commodities within the industrial chain, with midstream commodities such as ethylene and benzene playing a critical intermediary role in the spillover process. Additionally, the spillover between commodities is generally bidirectional, with non-closed chain spillover patterns being more common. Based on these findings, the paper offers policy recommendations to mitigate the risks of price fluctuations, promoting the stable development of the oil market and the sustained growth of the national economy. Keywords: Oil industrial chain; Commodities; Spillover; Multidimensional network (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:reveco:v:96:y:2024:i:pb:s105905602400604x DOI: 10.1016/j.iref.2024.103612 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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