| As the blood of modern industry,oil is the vital lifeblood of a country’s economic development and industrial production.As an emerging country with a booming economy,China’s demand for oil is increasing day by day.However,due to the limited development of local oil and gas resources,it is largely dependent on imports.International crude oil is not only a commodity,but also a financial product,which makes its price fluctuations more complicated and risks easier to export.Therefore,fluctuations in crude oil prices will not only affect the development of the general economy,but also is bad for the financial market.Because crude oil futures play a decisive role in the pricing mechanism of oil,this article takes the crude oil futures as the research object and studies the risk transmission mechanism between it and China’s petroleum-related industries.On the one hand,this article can give some strategies for those investors in petroleum financial products.On the other hand,it can help policy makers to deliver effective policies to resist the risks caused by fluctuations in crude oil prices.From an industry perspective,this article uses the Copula CoVaR method to research the risk contagion effects between the international crude oil market and China’s oil-related industries.Firstly,the paper sorted out the trend of oil price fluctuations in recent years and the mechanism behind it.Then,explained the status of China’s oil industry chain and related industry classifications involved.And sorted out the literature of risk contagion and spillover effects,Copula-CoVaR model and the contagion mechanism of risks in the international crude oil market to China’s oil-related industries.Subsequently,the article analyzed the risk contagion from the crude oil to the different types of Chinese petroleum-related industries through demonstration.The data selects the Brent crude oil futures price index to represent the international crude oil market.Then we have selected the daily yield data of eight indexes to represent China’s oil-related industries,respectively,they are Shenwan Petroleum Production Index,Shenwan Petrochemical Index,Shenwan Transportation Index,Shenwan Logistics Industry Index,Shenwan Electric Power Index,Shenwan Gas Index,Shenwan Coal Mining Index,and CITIC New Energy Industry Index.The sample period is 2007-2019,focusing on the 2008 financial crisis and the 2015 oil crisis.The demonstration steps include:(1)The establishment of marginal distribution;(2)Choose different types of Copula models to describe the correlation between the two variables and complete the establishment of the joint distribution;(3)Choose the best Copula model to calculate the number of risk spillover CoVaR and the intensity of risk spillover% CoVaR;(4)Research on risk spillover effects from both static and dynamic perspectives.After getting the empirical results,we will give reasonable suggestions.Research indicates:(1)From the perspective of direction,the risk spillovers between the crude oil market and the eight Chinese oil-related industry markets are double arrow.And the impact from the international petroleum market is greater than those from China’s oil-related industries.This shows that China’s oil-related market is an obvious risk taker,and its information transmission and influence on the international crude oil market are limited.(2)From the perspective of the intensity of risk spillovers,different industries react differently to changes in oil prices.The oil production industry has suffered the greatest risk spillover intensity,which shows that this industry has the strongest positive correlation with the international crude oil futures market.The logistics and transportation industries in the oil consumption industry have weaker risk spillover effects,while the electricity and gas industries in the oil substitution industry have the weakest risk spillover effects.(3)Analyzing the dynamic risk spillover effect from a time-varying perspective,it can be concluded that the risk spillover effect presents an asymmetric trend,and it strengthens during the crisis.The article has two innovations:(1)A more micro industry perspective is selected from the research perspective.In the past studies,most papers have studied this aspect from a holistic perspective,while there are few literatures on international oil price shocks from an industry perspective.In the literatures that analyzes from an industry perspective,the divisions of related industries is also not detailed.This article categorizes petroleum-related industries in detail based on the attributes of the industry,which is better to study the risk transmission mechanism between international crude oil futures and different types of China’s oil-related industries.(2)In terms of research methods,this paper selects a more complex Copula-CoVaR model to measure risk spillover effects.This method can accurately describe the non-linear correlation between variables and the tail-dependent structure more accurately than traditional methods.At last,this article also researched from both static and time-varying angles,which is more conducive to comprehensive conclusions. |
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