首页|Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19
Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19
扫码查看
点击上方二维码区域，可以放大扫码查看
原文链接
NSTL
Elsevier
? 2022 Elsevier LtdThis study investigates the impact of the recent COVID-19 pandemic on the time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets. In addition to the Chinese crude oil market, six other major energy futures markets in China are also considered. Volatility spillover networks are constructed based on the generalized forecast error variance decomposition in the frequency domain. The results demonstrate that the outbreak of COVID-19 strengthened the total volatility spillover across these markets. Interestingly, the volatility spillovers from the international crude oil market to China's markets were found to be overall strong in the long term and to have increased substantially during the pandemic. However, the spillovers across the domestic markets were found to dominate in the short term, even with the occurrence of the pandemic and crude oil price turbulence. The findings suggest that policymakers and investors should be cautious about the diverse impacts of the pandemic at multiple scales.
Chinese energy futures marketsCOVID-19Variance decomposition in frequency domainVolatility spillover
Li J.、Liu R.、Xie Q.、Yao Y.
展开 >
School of Economics and Management Beijing University of Technology
National Academy of Economic Strategy Chinese Academy of Social Sciences
NSTL
Elsevier
