Extreme risk spillover between chinese and global crude oil futures

This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in...

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Detalles Bibliográficos
Autores principales: Yang, Yuying, Ma, Yan-Ran, Hu, Min, Zhang, Dayong, Ji, Qiang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7456448/
https://www.ncbi.nlm.nih.gov/pubmed/32904491
http://dx.doi.org/10.1016/j.frl.2020.101743
Descripción
Sumario:This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.

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