| ID | 150805 |
| Title Proper | Effect of global oil price shocks on China's metal markets |
| Language | ENG |
| Author | Zhang, Chuanguo ; Tu, Xiaohua |
| Summary / Abstract (Note) | This paper investigated the impacts of global oil price shocks on the whole metal market and two typical metal markets: copper and aluminum. We applied the autoregressive conditional jump intensity (ARJI) model, combining with the generalized conditional heteroscedasticity (GRACH) method, to describe the volatility process and jump behavior in the global oil market. We separated the oil price shocks into positive and negative parts, to analyze whether oil price volatility had symmetric impacts on China’s metal markets. We further used the likelihood ratio test to examine the symmetric effect of oil price shocks. In addition, we considered the jump behavior in oil prices as an input factor to investigate how China’s metal markets are affected when jumps occur in the global oil market, in contrast to the existing research paying little attention to this issue. Our results indicate that crude oil price shocks have significant impacts on China's metal markets and the impacts are symmetric. When compared with aluminum, copper is more easily affected by oil price shocks. |
| `In' analytical Note | Energy Policy Vol. 90, No.90; Mar 2016: p. 131–139 |
| Journal Source | Energy Policy 2016-03 90, 90 |
| Key Words | Metals ; Oil Price Shocks ; ARGI-GARCH Model ; Effect |