The Effects Of Global Oil Price Shocks On China's Precious Metals Market

The global crude oil market has been an unprecedented surge since entering the 21st century.Crude oil is known as the "blood" of modern industry,whose price shocks will have profound impacts on national macro-economy and different markets.With the industrialization process to the late and the development of urbanization process,China's demand of oil and other traditional energies is very large.After becoming the world's largest importer of crude oil in 2013,China's crude oil import dependence exceeded 60%for the first time in 2015 and continued to rise to 65.4%in 2016.Therefore,it is of great strategic and practical significance to study the impacts of crude oil price shocks under the dual backgrounds of intense fluctuations in the crude oil market and rising China's crude oil imported dependency.When specific researching the impacts of oil price shocks on China's precious metals market,this paper constructs the ARMA-GJRGARCH-ARJI model in the crude oil market,to decompose the volatility process into two parts:Continuous volatility clustering process and discrete jumping process,and to extract the jump intensity sequences.Meanwhile,we decompose the oil price shocks into two parts:expected oil price shocks and unexpected oil price shocks.In the precious metals market,this paper constructs the ARMA-EGARCH model with exogenous variables.Meanwhile,take the jump intensity and expected and unexpected shocks of oil price as exogenous factors and integrate into the conditional mean and variance equations,to explore the mean and volatility spillover effects on precious metals market,respectively.The conclusions drawn in this paper are as follows:Firstly,global crude oil price has features of volatility clustering and discrete jump.Secondly,considering the different categories of oil price shocks,the results show that the effect of expected oil price shocks on precious metals returns is negative,and that of unexpected shocks is positive.Moreover,platinum market is more sensitive to response than the gold market.Thirdly,in terms of discrete jump of oil price,from the mean spillover effects,the current jump of crude oil has a negative impact on gold and platinum markets,but the lagged-one jump has a significant positive impact on gold market.From the perspective of volatility spillover effects,the volatility of gold and platinum markets are positively correlated with the current jump of crude oil price,while negatively correlated with the lagged-one jump.Moreover,the volatility response of gold market is stronger than that of the platinum market.Besides,some evidences also suggest that there is indeed a leverage effect in China's precious metals market.