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新冠疫情期间能源与非能源商品市场之间的时频连通性:来自中国的证据。

Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China.

作者信息

Chen Hao, Xu Chao, Peng Yun

机构信息

School of Finance, Hubei University of Economics, Wuhan, 430205, China.

Collaborative Innovation Center for Emissions Trading System Co-constructed by the Province and Ministry, Wuhan, 430205, China.

出版信息

Resour Policy. 2022 Sep;78:102874. doi: 10.1016/j.resourpol.2022.102874. Epub 2022 Jun 24.

Abstract

We aim to investigate the static and dynamic time-frequency connectedness between energy and nonenergy commodity markets in China during COVID-19 based on Baruník and Křehlík (2018) method. First, in this paper, we find that the short-term connectedness dominates the long-term one, and the total connectedness increases after the COVID-19 outbreak. Second, the energy commodity is the receiver and is influenced much by the spillovers of non-energy commodity markets (e.g. chemical commodities and non-ferrous metals) in the short run. At the same time, the impact is less at the long-term investment horizons. In addition, chemical commodities and soft commodities are the primary transmitters in this system in the short run. In contrast, chemical commodities and coal steel iron commodities are the main long-run primary transmitters. Third, the spillover role varies with the time-frequency domain during COVID-19. To be more specific, the energy commodity shows a net receiver role in the short and long run before the COVID-19 pandemic, but after it, the role of the net transmitter can be seen in the long run with ease. Finally, we show that COVID can reduce the hedging effectiveness at different investment horizons. The mineral policymakers should note our dynamic empirical results between energy and nonenergy commodity.

摘要

我们旨在基于巴鲁尼克和克雷利克(2018年)的方法,研究新冠疫情期间中国能源与非能源商品市场之间的静态和动态时频连通性。首先,在本文中,我们发现短期连通性主导长期连通性,且新冠疫情爆发后总连通性增加。其次,能源商品是接受者,短期内受非能源商品市场(如化工商品和有色金属)溢出效应的影响较大。同时,从长期投资视角来看,这种影响较小。此外,短期内化工商品和软商品是该系统中的主要传导者。相比之下,化工商品和煤炭钢铁商品是主要的长期主要传导者。第三,在新冠疫情期间,溢出效应的作用随时间频率域而变化。更具体地说,在新冠疫情大流行之前,能源商品在短期和长期内都表现为净接受者角色,但之后,在长期内很容易看到其净传导者角色。最后,我们表明新冠疫情会降低不同投资期限的套期保值有效性。矿产政策制定者应注意我们关于能源与非能源商品之间的动态实证结果。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/22d6/9226294/25061d4be420/gr1_lrg.jpg

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