Si Deng-Kui, Li Xiao-Lin, Xu XuChuan, Fang Yi
School of Economics, Qingdao University, Qingdao, China.
School of Economics, Ocean University of China, Qingdao, China.
Energy Econ. 2021 Oct;102:105498. doi: 10.1016/j.eneco.2021.105498. Epub 2021 Aug 5.
Detecting the adverse effects of major emergencies on financial markets and real economy is of great importance not only for short-term policy reactions but also for economic and financial stability. This is the lesson we learnt from the COVID-19 pandemic. This paper focuses on the risk spillover effect of the COVID-19 on Chinese energy industry using a high-dimensional and time-varying factor-augmented VAR model. The results show that the net volatility spillovers of the pandemic remain positive to all underlying energy sectors during January to June of 2020 and February to April of 2021. For the former sub-period, the volatility spillover of the COVID-19 is not only the highest, but also lasts longest for oil exploitation sector, followed by the power and gas sectors. While for the latter sub-period, the COVID-19 has relatively higher volatility spillovers to the power, coal mining and petrochemical sectors. These findings suggest that the COVID-19 has significant risk spillover effects on Chinese energy sectors, and the effects vary among different energy sub-sectors and across different periods of time.
检测重大突发事件对金融市场和实体经济的负面影响，不仅对于短期政策反应，而且对于经济和金融稳定都至关重要。这是我们从新冠疫情中学到的教训。本文使用高维时变因子增强向量自回归模型，聚焦于新冠疫情对中国能源行业的风险溢出效应。结果表明，在2020年1月至6月以及2021年2月至4月期间，疫情的净波动溢出对所有基础能源部门均保持正向。在前一个子时期，新冠疫情的波动溢出不仅最高，而且在石油开采部门持续时间最长，其次是电力和天然气部门。而在后一个子时期，新冠疫情对电力、煤炭开采和石化部门的波动溢出相对较高。这些发现表明，新冠疫情对中国能源部门具有显著的风险溢出效应，且效应在不同能源子部门以及不同时间段有所不同。
