Scrutinizing multi-scale and multi-quantile interactions in commodity markets: A petrochemical industrial chain perspective

IF 13.6 2区 经济学 Q1 ECONOMICS Energy Economics Pub Date : 2024-10-28 DOI:10.1016/j.eneco.2024.108019
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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.
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审视商品市场中的多尺度和多量纲相互作用:石化产业链视角
本文从石化产业链的角度出发,采用小波局部多重相关性、频率连通性框架和量子连通性框架三种创新方法,研究了中国五种石化商品期货之间的相互作用。结果表明,中国石化市场在不同时间尺度上表现出高度的市场一体化,但在短期内与国际原油市场脱钩。聚丙烯(PP)和线型低密度聚乙烯(LL)的价格动态是影响其他商品价格波动的主导因素。总信息溢出水平随着时间尺度的增加呈快速下降趋势,但在不同数量级之间呈 U 型曲线,并在第 50 个百分位数时达到最小值。我们进一步确定了产业链系统中的净信息传递者和接收者,并探讨了两种全球交易的原油基准(即布伦特原油和 WTI 原油)在不同时间尺度和不同市场条件下的溢出冲击。它们几乎始终是中国国内市场的净风险传递者,但在市场极度看涨的情况下,它们会受到中国市场大幅上涨趋势的净影响。
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来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
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.
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