Ren, Xiaohang, Li, Yiying, Sun, Xianming, Bu, Ruijun ORCID: 0000-0002-3947-3038 and Jawadi, Fredj
(2023)
Modeling extreme risk spillovers between crude oil and Chinese energy futures markets.
Energy Economics, 126.
p. 107007.
Text
Ren et al. (2023) Measuring_extreme_risk_spillovers_across_the_international_crude_oil_and_Chinese_energy_futures_markets.pdf - Author Accepted Manuscript Available under License Creative Commons Attribution. Download (4MB) | Preview |
Abstract
This paper aims to model the extreme risk spillovers between crude oil and Chinese energy futures markets to assess the effect of excessive oil price volatility on Chinese energy sectors. To this end, we set up a Generalized Autoregressive Conditional Heteroskedasticity - Extreme Value Theory Value-at-Risk specification (or GARCH-EVT-VaR hereafter) to flexibly model extreme risks. Moreover, we focus on two international crude oil futures markets and ten Chinese energy futures markets to measure the extreme risk spillovers. Our findings point to two main results. First, we find significant evidence of extreme risk spillovers from the two international crude oil markets to Chinese energy futures markets, which are asymmetric. More specifically, the spillover effects across extreme risks are more significant than those measured with the return series. Second, some Chinese energy future markets also exhibit internal extreme risk spillovers from the petrochemical sector to the coal sector. These findings reveal the potential vulnerability of Chinese energy sectors and call for active risk management policies to better hedge Chinese energy futures markets against extreme events.
Item Type: | Article |
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Uncontrolled Keywords: | 7 Affordable and Clean Energy |
Divisions: | Faculty of Humanities and Social Sciences > School of Management |
Depositing User: | Symplectic Admin |
Date Deposited: | 25 Sep 2023 08:43 |
Last Modified: | 15 Mar 2024 11:29 |
DOI: | 10.1016/j.eneco.2023.107007 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3172981 |