The effect of global oil price shocks on China's precious metals market: A comparative analysis of gold and platinum

Time‐varying effects and structural change of oil price shocks on industrial output: Evidence from China's oil industrial chain

“…In May 2011, the international oil market entered down cycle, which reached a nadir of 26.66 dollars per barrel in February 2016. In addition, China's economy has continued to grow rapidly since the reform and opening up, driving oil demand to rise rapidly (Chen & Zhu, 2019; Wen et al, 2019; Zhang, Shi, & Yu, 2018). To meet domestic oil demand, China's crude oil imports have also risen rapidly, which makes its dependence on oil imports very high (Chen & Zhu, 2019; Gong & Lin, 2018a; Jiao, Zuo, Li, Yuan, & Li, 2017; Xiao, Hu, Ouyang, & Wen, 2019).…”

Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model

“…In other words, the risks that arise in financial markets spread. Ewing and Malik (2013) , Mensi et al (2015) , Yaya et al (2016) (after the recent financial crisis), Rehman et al (2018) , Zhang et al (2018) , Chen and Qu (2019) and Yildirim et al (2020) similarly found evidence of the spillover of volatility between oil and precious metals. An important issue here is whether there is a meaningful change in the correlation between oil and precious metal before and after the Covid epidemic.…”

“…Given the emerging financial attribute of oil markets globally, the price changes risks arising from significant fluctuations in the supply and demand of oil are closely monitored by investors as well as firms or individual users whose energy costs hold a significant part in their total costs. Since the changes in oil prices have been more synchronized with various commodity market returns, including precious metals, in recent decades, the spillover effects between oil and precious metals has been the focus of a growing literature ( Ewing and Malik, 2013 ; Mensi et al 2015 , 2017 ; Reboredo and Ugolini, 2016 ; Awartani et al, 2016 ; Yaya et al, 2016 ; Maghyereh et al, 2017 ; Rehman et al, 2018 ; Zhang et al, 2018 ; Chen and Qu, 2019 ; Balcilar et al, 2019 ; Dutta et al, 2019 ., Shahzad et al, 2019 ). Among these studies, Ewing and Malik (2013) conducted a study to estimate the volatility spillover effects between gold and oil futures incorporating structural breaks by using employs univariate and bivariate GARCH models with breaks, and reported strong evidence in favor of transmission of volatility between gold and oil returns.…”

“…They showed evidence of that there is a significant spillover effect from the aggregate demand shock to the monthly returns of the precious metals such as silver, copper, palladium and platinum except gold returns, and also after 2010, the oil specific demand shock has a positive net spillover effect on precious metals except palladium. Zhang et al (2018) examined the effects of global crude oil price shocks on China's precious metals market such as gold and platinum by utilizing the meliorated autoregressive conditional jump intensity (ARJI) model and the ARMA-GARCH model. The findings reveal that the impact of expected shocks in oil prices on the precious metals returns is negative due to the profitability of capital, while unexpected shocks have a positive effect.…”

Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices

“…Not surprisingly, and since oil is one of the most important drivers in the economy, with an intriguing connection with other factors like inflation, stocks, bonds and economic growth, the amount of research on the relationship between oil price volatility and other aspects has been fluent and especially intense over the last few years in fields like macroeconomy and exchange rates [55][56][57][58][59][60] or stock markets [61][62][63]. In a category of its own, a fewer number of studies approach crude oil price and returns in relation to other commodities also including natural gas [64][65][66][67][68][69]. Finally, and as for other traded commodities, a highly sophisticated category of research is available on both volatility modelling and forecasting evaluation [8][9][10][11][12][13][14][15]21,[70][71][72][73], both perhaps the most relevant areas for our research.…”