Asymmetric Risk Spillover of the International Crude Oil Market in the Perspective of Crude Oil Dual Attributes

Jia, Shuaishuai; Dong, Hao; Yang, Haowen

doi:10.3389/fenvs.2021.720278

Cited by 6 publications

(4 citation statements)

References 70 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Since the impact of international crude oil market risk and financial market risk is not significant in Step two, we need to do the Sobel test for all the mediating effects in the third step. All the test results fall into the acceptance domain, indicating that there is no mediating effect of commodity market risk and financial market risk (Gregorious and Kontonikas 2010; Meng et al, 2020;Jia et al, 2021). According to the stepwise test results, when the financial attribute of oil is dominant, the risk of the crude oil market directly affects CPI/PPI.…”

Section: DVmentioning

confidence: 99%

“…For example, in the second half of 2003, there is a positive relationship between crude oil demand shock and monetary policy shock as well as crude oil price shock, but the shock of monetary policy on international crude oil price has a certain lag effect. This indicates that the fluctuation of international crude oil price is mainly affected by the oil demand, while the influence of monetary policy lags, that is, the fluctuation of crude oil price is mainly regulated by the relationship between oil supply and oil demand (Jia et al, 2021). Therefore, at this time, the oil commodity attribute is dominant.…”

Section: Inferred Oil Attributesmentioning

confidence: 99%

“…attributes co-domination. Most of the dominant periods of oil financial attribute are before and after the occurrence of special events (Hu et al, 2021;Jia et al, 2021Jia et al, ), mainly including six periods: 2006Jia et al, .9-2007Jia et al, .3, 2007Jia et al, .7-2007Jia et al, .12, 2011Jia et al, .12-2013Jia et al, .4, 2015Jia et al, .5-2015Jia et al, .12, 2019Jia et al, .2-2019.9 and 2020.7-. The dominant period of oil commodity attribute is in the stable period of the crude oil market, which includes four periods: 2003.7-2006.9, 2007.3-2007.6, 2013.4-2015.5 and 2016.1-2019.2.…”

Section: Inferred Oil Attributesmentioning

confidence: 99%

“…market risk on CPI and PPI, while the mediating effect of the commodity market only exists in the impact of crude oil market risk on CPI (Ji et al, 2018;Jia et al, 2021).…”

Section: DVmentioning

confidence: 99%

See 3 more Smart Citations

Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

Jia

Dong²,

Wang

2022

Front. Energy Res.

Self Cite

View full text Add to dashboard Cite

The impact channel of crude oil market risk on the macroeconomy is highly related to oil attributes. This paper uses a stepwise test method with dummy variables to identify the channel effect of commodity market risk as well as financial market risk and explore the characteristics of the channel effect in different periods dominated by different oil attributes. Furthermore, this paper investigates the asymmetric characteristics of the channel effect under the condition of crude oil returns heterogeneity. The empirical results show that: First, commodity market risk, as well as financial market risk plays a channel role in the impact of crude oil market risk on the macroeconomic operation. Second, there is a significant difference in the ability of the commodity market and financial market to cope with shocks of crude oil market risk in periods dominated by different attributes. During the period dominated by the commodity attribute of oil, both commodity market and financial market play the role of “risk buffer”; during the period dominated by dual attributes of oil, the commodity market risk plays the role of “risk buffer”, while the financial market risk plays the role of “magnifier” of the crude oil market risk. Third, the channel effect pattern and degree of commodity market risk and financial market risk are significantly asymmetric.

show abstract

Section: DVmentioning

confidence: 99%

Section: Inferred Oil Attributesmentioning

confidence: 99%

Section: Inferred Oil Attributesmentioning

confidence: 99%

“…market risk on CPI and PPI, while the mediating effect of the commodity market only exists in the impact of crude oil market risk on CPI (Ji et al, 2018;Jia et al, 2021).…”

Section: DVmentioning

confidence: 99%

See 2 more Smart Citations

Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

Jia

Dong²,

Wang

2022

Front. Energy Res.

Self Cite

View full text Add to dashboard Cite

show abstract

A multi-objective optimization algorithm based on the identification of risk spillover intensity measurement in Chinese financial markets

Mao,

Liang,

Wang

2023

Applied Mathematics and Nonlinear Sciences

View full text Add to dashboard Cite

Identifying the intensity of risk spillover in China’s financial market can provide an important empirical basis and information reference for monitoring and preventing financial risks. This paper uses a multi-objective application of particle swarm optimization algorithm under a multi-objective optimization algorithm to induce the MOPSO algorithm. The algorithm identifies and measures the intensity of risk spillover in China’s financial market in two aspects, including the risk spillover from policy instability to the stock market and the two-way risk spillover between the financial industry and the real estate industry. Regarding policy instability, the risk spillover intensities of downside fiscal policy, monetary policy, trade policy, and foreign exchange policy are 14.83%, 53.88%, 7.54%, and 31.06%, respectively. Regarding the two-way risk spillover intensity, the average risk spillover intensity of real estate to finance is 70.28%, which is 5.57 percentage points higher than that of finance. This indicates that the multi-objective optimization algorithm can identify and measure the risk spillover intensity of China’s financial market, providing data support and information reference for preventing financial risks.

show abstract

Heterogeneous Impact of Land-Use on Climate Change: Study From a Spatial Perspective

Jia

Yang

Wang

et al. 2022

Front. Environ. Sci.

View full text Add to dashboard Cite

Studies have shown that land and climate interact in complex ways through multiple biophysical and biogeochemical feedbacks. In this interaction mechanism, the carbon fixation effect among different land-use types and objective conditions among different regions have significant gaps, leading to the heterogeneous impact of land-use on climate change. This study takes temperature change as the observation index to reflect climate change, and analyzes the process of land use type adjustment affecting vegetation cover and climate change. Based on the data of 214 countries from 1990 to 2018, this paper uses the spatial Durbin model with temperature lag to verify the heterogeneous impact of land-use on climate change in two dimensions of land-use type (Agriculture, forestry and their subdivision structure) and region (latitude and land-sea difference). The following conclusions are drawn: 1) The impact of different land-use types on climate change is heterogeneous. The impact of agricultural land on climate change is not significant, but the increase of the forest land proportion will help to restrain the rise of national temperature. 2) The impact of land-use on climate change has regional heterogeneity. There is heterogeneity in the impact on climate change among sample countries of different latitudes. The geographical differences make the mechanism of land-use affecting climate change between island countries and mainland countries also have heterogeneity, mainly in that island countries are not affected by the land-use structure adjustment of neighboring countries. 3) A country’s climate change is affected by both its own land-use structure and the land-use structure of neighboring countries, and the latter is more critical. The conclusions in this study provide helpful supplementary evidence for the importance of international climate cooperation and provide a reference for proposing international initiatives to address climate change or establishing an international convention to address climate change.

show abstract

Asymmetric Risk Spillover of the International Crude Oil Market in the Perspective of Crude Oil Dual Attributes

Cited by 6 publications

References 70 publications

Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

A multi-objective optimization algorithm based on the identification of risk spillover intensity measurement in Chinese financial markets

Heterogeneous Impact of Land-Use on Climate Change: Study From a Spatial Perspective

Contact Info

Product

Resources

About