辨析全球地缘政治风险对中国能源期货市场溢出效应的影响:来自高阶矩的证据

IF 13.6 2区 经济学 Q1 ECONOMICS Energy Economics Pub Date : 2024-10-28 DOI:10.1016/j.eneco.2024.107981
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引用次数: 0

摘要

全球地缘政治风险与中国能源期货市场息息相关。通过高阶矩(三阶矩和四阶矩)、时频溢出模型和随机森林技术相结合的三阶段研究框架,我们识别了不同时间跨度下全球能源国家地缘政治风险对中国能源期货溢出的影响。我们的三阶矩(偏度)溢出结果表明,在短期时间尺度上,原油和燃料油期货主要扮演净传递者的角色,而焦煤和沥青期货则主要是净接受者。但在中长期时间尺度上,动力煤和燃料油是稳定的净接受者。在四阶矩(峰度)溢出效应方面,原油在所有时间跨度上都始终是传播者,净溢出值相对较大。此外,俄罗斯地缘政治风险对中国能源期货市场溢出效应的影响最为突出,其次是沙特阿拉伯。此外,俄罗斯和沙特阿拉伯分别更有可能影响市场的上行和下行溢出效应。这些结果为不同类型的投资者和政策制定者提供了一些启示。
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Discerning the impact of global geopolitical risks on China's energy futures market spillovers: Evidence from higher-order moments
Global geopolitical risks matter to China's energy futures market. Through a three-stage research framework combining higher-order moment (third- and fourth-order moments), time-frequency spillover model, and the random forest technique, we identify the influence of global energy countries' geopolitical risks on China's energy futures spillovers under different time horizons. Our third-order moment (skewness) spillover results indicate that crude oil and fuel oil futures primarily play the role of net transmitters in the short-term time scale, while coking coal and bitumen futures are mainly net recipients. In the medium- and long- term time scales, however, thermal coal and fuel oil are stable net recipients. For the fourth-order moment (kurtosis) spillovers, the crude oil consistently acts as the transmitters across all time horizons, with a relatively significant net spillover value. Moreover, Russia's geopolitical risk has the most prominent impact on spillovers in China's energy futures market, followed by Saudi Arabia. Additionally, Russia and Saudi Arabia are more likely to impact upside and downside market spillovers, respectively. These results provide some implications for different types of investors and policy makers.
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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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