Risk spillover effects of international crude oil market on China’s major markets

作者：Siming Liu, Honglei Gao, Peng Hou, Yong Tan · 发表于：AIMS energy · 年份：2019 · DOI：10.3934/energy.2019.6.819 · 被引用次数：19 · 研究领域：Market Dynamics and Volatility、Global Energy Security and Policy、Energy, Environment, Economic Growth

This paper systematically evaluates the influence of international crude oil risk on Chinese macro-financial risks, by quantifying risk spillover effects from international crude oil market to China’s three major markets (stock, foreign exchange and commodity markets). Specifically, this paper initially calculates the risks of international crude oil market and China’s three major markets by adopting a conditional autoregressive value at risk (CAViaR) model, then the spillover index is used to capture the risk spillovers from international crude oil market to China’s major markets. The empirical results indicate that there exists significant heterogeneous risk spillover effects transmitted from international crude oil market to China’s three major markets. To be more specific, the risk derived from international crude oil market is always a dominant driving force of risk in China’s commodity market. However, the shocks of global oil risk do not affect much of the risks of China’s stock and foreign exchange markets in general. In addition, our results further report that international oil risk has considerable effects on China’s macro-financial risks during several specific periods, which can be attributed to several major events. Specifically, the risk spillovers originated from international crude oil market remarkably contribute to the risk of China’s commodity market during the period of global financial crisis. International crude oil risk makes great contribution to the ...