{"title":"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","authors":"Xinya Wang , Xueyun Rong , Lei Yin","doi":"10.1016/j.eneco.2024.107981","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":11665,"journal":{"name":"Energy Economics","volume":"140 ","pages":"Article 107981"},"PeriodicalIF":13.6000,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Discerning the impact of global geopolitical risks on China's energy futures market spillovers: Evidence from higher-order moments\",\"authors\":\"Xinya Wang , Xueyun Rong , Lei Yin\",\"doi\":\"10.1016/j.eneco.2024.107981\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":11665,\"journal\":{\"name\":\"Energy Economics\",\"volume\":\"140 \",\"pages\":\"Article 107981\"},\"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/S0140988324006893\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0140988324006893","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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.