The Study On The Relationship Between International Crude Oil Market And China's Nonferrous Metal Market

Throughout history,many sharp fluctuations of international oil price are related to the financial crises or regional conflicts in the world.The price volatility of crude oil,which is the main energy of industrial activities,will surely bring great influences on the economy.Besides,nonferrous metals are important raw materials of industrial activities,playing a critical role in many fields.The open policy strengthens China's contacts with the world,making China's nonferrous metal market been more or less affected by the international oil price changes.This dissertation studies the fluctuation of the international crude oil price and its impact on the China's nonferrous metal market under the circumstance that China's oil consumption continues to rise and its external dependence remains high.It is not only helpful for investors to focus on the market changes and grasp the risks,but also useful to provide suggestions for government to deal with the international oil price changes and stabilize the markets.This dissertation studies on the international oil market and six typical nonferrous metal markets of China,and makes some improvements of the EGARCH and ARJI model.The oil price shocks and jumps are distinguished after describing the features of these market returns volatility.The asymmetric effects and time-lag effects of different types of oil price shocks and jump spillover on China's nonferrous metal market are analyzed in detail.It is a supplement ofare explained existing research on the impacts of international oil price changes,and the results from the view of transmission mechanism of two markets.According to the empirical results,there are four important conclusions.First,the international oil returns are divided into smooth volatility and jumps.The smooth volatility is characterized by volatility clustering and leverage affects.The jump behaviors change over time and are independent of smooth volatility.Second,the volatility of all nonferrous metal markets is asymmetric,but only the copper market shows leverage effects.Third,the oil price shocks have different effects on the nonferrous metal market.The expected oil price shocks have more influence on the nonferrous metal markets,and make their returns move reversely.Most unexpected oil price shocks have positive effects on the nonferrous metal market returns.Both expected and unexpected oil price shocks have significantly asymmetric effects on most nonferrous metal markets.Meanwhile,the oil price shocks have time-lag effects on the nonferrous metal market.Fourth,except for the aluminum market,the jumps of oil returns have significant spillovers on the other nonferrous metal markets,whose responds tend to be overreacted in the current period and adjust reversely in the next period.The spillovers will last for one or two periods.In addition,there is one-period lag of the response of tin market to oil returns jumps compared to other nonferrous metal markets.On the basis of research conclusions,the channels between international oil market and China' s nonferrous metal market are summarized from the aspect of costs,inflation effects,substitution effects and signal transmission.At last,the following suggestions are put forward:developing new energy sources,improving the domestic oil futures market,building the pricing power of nonferrous metal markets,improving the production techniques and transportation,consummating China's nonferrous metal futures markets and establishing a monitoring and pre-warning mechanism for nonferrous metal prices.