{"title":"Scrutinizing multi-scale and multi-quantile interactions in commodity markets: A petrochemical industrial chain perspective","authors":"Jie Yang , Yun Feng , Hao Yang","doi":"10.1016/j.eneco.2024.108019","DOIUrl":null,"url":null,"abstract":"<div><div>From the perspective of the petrochemical industrial chain, this paper examines the interactions among five China's petrochemical commodity futures using three innovative methods - wavelet local multiple correlation, frequency connectedness framework, and quantile connectedness framework. The results show China's petrochemical markets exhibit a high degree of market integration at different time scales but decouple from international crude oil markets in the short term. The price dynamics of polypropylene (PP) and linear low-density polyethylene (LL) behave as the dominant factors to impact the price fluctuations of other commodities. The total information spillover level showcases a rapidly decreasing trend with the time scale increasing but a U-shaped curve across various quantiles and reaches the minimum at the 50th percentile. We further identified the net information transmitters and recipients in the industrial chain system and also explored the spillover shocks of two globally traded crude oil benchmarks, i.e., Brent and WTI, at different time scales and under different market conditions. They virtually always serve as net risk transmitters to China's domestic markets, but under extremely bullish market conditions, they are net influenced by the sharply upward trends of China's markets.</div></div>","PeriodicalId":11665,"journal":{"name":"Energy Economics","volume":"140 ","pages":"Article 108019"},"PeriodicalIF":13.6000,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0140988324007278","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
From the perspective of the petrochemical industrial chain, this paper examines the interactions among five China's petrochemical commodity futures using three innovative methods - wavelet local multiple correlation, frequency connectedness framework, and quantile connectedness framework. The results show China's petrochemical markets exhibit a high degree of market integration at different time scales but decouple from international crude oil markets in the short term. The price dynamics of polypropylene (PP) and linear low-density polyethylene (LL) behave as the dominant factors to impact the price fluctuations of other commodities. The total information spillover level showcases a rapidly decreasing trend with the time scale increasing but a U-shaped curve across various quantiles and reaches the minimum at the 50th percentile. We further identified the net information transmitters and recipients in the industrial chain system and also explored the spillover shocks of two globally traded crude oil benchmarks, i.e., Brent and WTI, at different time scales and under different market conditions. They virtually always serve as net risk transmitters to China's domestic markets, but under extremely bullish market conditions, they are net influenced by the sharply upward trends of China's markets.
期刊介绍:
Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.