Dynamic connectedness between crude oil futures and energy industrial bond credit spread: Evidence from China

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-02-12 DOI:10.1016/j.eneco.2025.108294

Yi-Shuai Ren , Tony Klein , Yong Jiang , Pei-Zhi Liu , Olaf Weber

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Abstract

This study utilizes a connectedness approach that is based on the quantile vector autoregressive model to analyze the level of connectedness between China's crude oil future market (INE) and the energy industrial bond credit spread across various markets. The findings of our study indicate that (1) The total connectedness index (TCI) exhibits a U-shaped pattern that changes according to conditional quantiles. This suggests that the spillover between the energy industry bond market and oil futures market is greater during extreme market conditions (bullish and bearish markets) compared to normal markets; (2) The TCI increased in size and volatility during the COVID-19 pandemic and the Russia-Ukraine conflict; (3) The electricity sector consistently transmits shocks, whereas INE consistently receives them, irrespective of the market states; (4) The credit risk of the energy sector has a significant impact on INE, particularly in bullish and bearish markets, while the former has a little impact on the latter. The coal and electricity sectors are the primary net spillover transmitters for INE in both bullish and bearish markets. Conversely, the gas sector is the largest net spillover transmitter for INE in a typical market. Lastly, our research offers novel perspectives on the information-sharing channels for the energy sector's bonds and oil futures markets, which could assist traders and investors in making more informed investment decisions.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.