Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-10-04 DOI:10.1016/j.najef.2024.102296

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引用次数: 0

Abstract

This paper examines the coupling of China’s petrochemical-related commodity futures from the perspective of an integrated system as well as the multiscale interdependency between this system and Shanghai crude oil futures (SCM) with two globally influential benchmarks, i.e., Brent and WTI, as comparisons. Our methods innovatively build on the multifractal theory and provide in-depth analysis across various time scales. The results show the dynamic coupling of China’s oil industry chain system (ICS) can reflect its level of systemic risk concentration well. The greater the time scale, the stronger the coupling. The abrupt deterioration of the external economic environment enhanced the impact of crude oil on the ICS, but the impact from SCM increased the most. Furthermore, the higher dependency preference of ICS for SCM confirms the effectiveness of this emerging futures market in reflecting domestic oil supply and demand but continuously weakens as the time scale increases, indicating the dominance of Brent and WTI in the long run.

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中国原油期货与石化相关商品期货的多尺度动态相互依存关系：产业链体系的综合视角

本文以布伦特原油期货（Brent）和WTI原油期货（WTI）这两个具有全球影响力的基准为比较对象，从综合系统的角度研究了中国石油化工相关商品期货的耦合性，以及该系统与上海原油期货（SCM）之间的多尺度相互依存关系。我们的方法创新性地建立在多分形理论的基础上，提供了跨时间尺度的深入分析。结果表明，中国石油产业链系统（ICS）的动态耦合能够很好地反映其系统性风险的集中程度。时间尺度越大，耦合度越强。外部经济环境的突然恶化增强了原油对 ICS 的影响，但来自单片机的影响增幅最大。此外，ICS 对 SCM 的依赖偏好较高，证实了这一新兴期货市场在反映国内石油供需方面的有效性，但随着时间尺度的增加，这种依赖偏好持续减弱，表明布伦特和 WTI 在长期内占据主导地位。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.