Volatility spillover effects among geopolitical risks and international and Chinese crude oil markets——A study utilizing time-varying networks

IF 10.2 2区经济学 0 ENVIRONMENTAL STUDIES Resources Policy Pub Date : 2024-07-20 DOI:10.1016/j.resourpol.2024.105225

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Abstract

In recent years, geopolitical events have frequently been expected to be significant drivers of changes in crude oil prices. Based on previous studies, we establish a model using the rolling window VAR-DY spillover model and complex network theory to measure the dynamic net spillover across financial markets. We select the geopolitical risk index developed by Caldara and Iacoviell and international crude oil spot prices and Chinese crude oil spot prices as sample data to discuss the results. We find that fluctuations in international crude oil prices not only strongly influence Chinese crude oil prices but also affect geopolitical risk to a certain extent. Second, the key modes facilitating the transmission of net volatility in the dynamic network are relatively stable and have a high probability of maintaining their internal structures. By analyzing the time-varying spillover effect among variables and network topology characteristics, we provide information for predicting changes in the net spillover of volatility among geopolitical risk and crude oil prices and guidance for decision makers.

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地缘政治风险与国际和中国原油市场之间的波动溢出效应--利用时变网络的研究

近年来，地缘政治事件经常被认为是原油价格变化的重要驱动因素。在前人研究的基础上，我们利用滚动窗口 VAR-DY 溢出模型和复杂网络理论建立了一个模型，以衡量整个金融市场的动态净溢出效应。我们选取 Caldara 和 Iacoviell 开发的地缘政治风险指数以及国际原油现货价格和中国原油现货价格作为样本数据来讨论结果。我们发现，国际原油价格的波动不仅强烈影响中国原油价格，也在一定程度上影响地缘政治风险。其次，动态网络中促进净波动传导的关键模式相对稳定，其内部结构维持的概率较高。通过分析变量间的时变溢出效应和网络拓扑特征，为预测地缘政治风险与原油价格之间的净溢出波动变化提供信息，为决策者提供指导。

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来源期刊

Resources Policy ENVIRONMENTAL STUDIES-

CiteScore

13.40

自引率

23.50%

发文量

602

审稿时长

69 days

期刊介绍： Resources Policy is an international journal focused on the economics and policy aspects of mineral and fossil fuel extraction, production, and utilization. It targets individuals in academia, government, and industry. The journal seeks original research submissions analyzing public policy, economics, social science, geography, and finance in the fields of mining, non-fuel minerals, energy minerals, fossil fuels, and metals. Mineral economics topics covered include mineral market analysis, price analysis, project evaluation, mining and sustainable development, mineral resource rents, resource curse, mineral wealth and corruption, mineral taxation and regulation, strategic minerals and their supply, and the impact of mineral development on local communities and indigenous populations. The journal specifically excludes papers with agriculture, forestry, or fisheries as their primary focus.