Global oil price shocks and China’s transportation sector: new evidence from dynamic jumps in oil prices

IF 3.2 4区 工程技术 Q3 ENERGY & FUELS
Chuanguo Zhang, Hongli Shang, Xinjie Mou
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引用次数: 0

Abstract

Since the outbreak of the COVID-19 pandemic, the global oil market has experienced historic turbulence, and the extreme jump behavior of oil prices deserves relentless attention. This study analyzed how oil price shocks impact China’s transportation sector at the aggregate and subsector levels from the perspective of jump behavior in oil prices. We applied the ARMA-EGARCH-ARJI model to characterize the global oil price volatility and verified that it contains asymmetric clustering volatility and dynamic jumps. By using the ARMA-EGARCH-X model, we investigated the impacts of oil price jumps on the transportation sector successively considering the hysteresis and asymmetry. We found that the impacts of oil price changes on China’s transportation sector mainly come from unexpected shocks, in which the spillover effect of oil price volatility stems from the jump component rather than the clustering volatility. Hysteresis exists in the risk spillovers of oil price jumps on sector volatility. Furthermore, the sector’s responses to the jump shocks exhibit the asymmetric effect, that the inhibitory effect of the downward jumps on the sector returns is stronger than that of the upward jumps. Finally, diversities are displayed in the impacts of oil price jumps on China’s five transportation subsectors. This study has practical significance for the transportation sector and provides implications for market participants and policy-makers.

Abstract Image

全球石油价格冲击与中国交通运输业:石油价格动态跳跃的新证据
自 COVID-19 疫情爆发以来,全球石油市场经历了历史性的动荡,油价的极端跳跃行为值得持续关注。本研究从油价跳跃行为的角度分析了油价冲击如何在总体和分行业层面影响中国交通运输业。我们运用 ARMA-EGARCH-ARJI 模型描述了全球石油价格波动的特征,并验证了其包含非对称聚类波动和动态跳跃。利用 ARMA-EGARCH-X 模型,我们先后考虑了滞后性和非对称性,研究了油价跳跃对交通运输业的影响。我们发现,油价变动对中国交通运输业的影响主要来自于意外冲击,其中油价波动的溢出效应源于跳跃部分而非集聚波动。油价跳跃对行业波动的风险溢出存在滞后性。此外,行业对跳跃冲击的反应表现出非对称效应,即向下跳跃对行业收益的抑制作用强于向上跳跃。最后,油价跳跃对中国五个交通运输子行业的影响呈现出多样性。本研究对交通运输行业具有现实意义,并为市场参与者和政策制定者提供了参考。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Energy Efficiency
Energy Efficiency ENERGY & FUELS-ENERGY & FUELS
CiteScore
5.80
自引率
6.50%
发文量
59
审稿时长
>12 weeks
期刊介绍: The journal Energy Efficiency covers wide-ranging aspects of energy efficiency in the residential, tertiary, industrial and transport sectors. Coverage includes a number of different topics and disciplines including energy efficiency policies at local, regional, national and international levels; long term impact of energy efficiency; technologies to improve energy efficiency; consumer behavior and the dynamics of consumption; socio-economic impacts of energy efficiency measures; energy efficiency as a virtual utility; transportation issues; building issues; energy management systems and energy services; energy planning and risk assessment; energy efficiency in developing countries and economies in transition; non-energy benefits of energy efficiency and opportunities for policy integration; energy education and training, and emerging technologies. See Aims and Scope for more details.
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