衡量能源商品中的动态连通性网络:来自D-Y和频率连通性方法的证据

IF 1.5 Q2 ECONOMICS OPEC Energy Review Pub Date : 2020-11-19 DOI:10.1111/opec.12188
O. Polat
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引用次数: 2

摘要

在本研究中,我们通过实施Diebold-Yilmaz和频率连通性方法,研究了2006年6月至2020年4月期间能源商品的连通性。我们估计了分析期间WTI原油、Henry Hub天然气、ULS柴油和汽油价格之间的动态连通性。我们绘制了反映2007:3-2019:12和2020:1-2020:4两个不同时期的定向溢出效应网络图,网络分析证实,由于COVID - 19的爆发,能源商品之间的定向溢出效应显著增加。研究结果强调了有效监管框架对监测商品价格发展的重要性,以避免商品价格冲击的不利影响。当局应制定政策行动,以抵消COVID - 19大流行对商品市场的不利影响
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Measuring dynamic connectedness networks in energy commodities: evidence from the D‐Y and frequency connectedness approaches
In this study, we examine the energy commodities connectedness between the period June 2006 and April 2020 by implementing the Diebold–Yilmaz and the frequency connectedness approaches We estimate dynamic connectedness between WTI crude oil, the Henry Hub natural gas, ULS diesel and the gasoline prices over the analysed period Overall spillover indexes estimated by both methodologies properly respond to prominent geopolitical events over the sample period Additionally, we plot network graphs for directional spillovers reflecting two distinct periods, 2007:3–2019:12 and 2020:1–2020:4 Network analysis verifies that the directional spillovers between energy commodities have prominently surged due to the COVID‐19 outbreak The findings of the study underline the importance of an effective regulatory framework for monitoring commodity price developments to avoid adverse effects of commodity price shocks Additionally, the authorities should enact policy actions to counteract the detrimental effects of the COVID‐19 pandemic on the commodity markets
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来源期刊
OPEC Energy Review
OPEC Energy Review ECONOMICS-
CiteScore
2.90
自引率
4.50%
发文量
34
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