An Sufang
College of Information and Engineering, Hebei GEO University, Shijiazhuang 050031, China.
School of Economics and Management, China University of Geosciences, Beijing 100083, China.
Entropy (Basel). 2022 Sep 5;24(9):1248. doi: 10.3390/e24091248.
This study investigated information spillovers across crude oil time series at different time scales, using a network combined with a wavelet transform. It can detect the oil price, which plays an important role in the dynamic process of spillovers, and it can also analyze the dynamic feature of systematic risk based on entropy at different scales. The results indicate that the network structure changes with time, and the important roles of an oil price can be identified. WTI and Brent act as important spillover transmitters, and other prices are important spillover receivers at a scale. With the increase in time scale, both the number of neighbors and the importance of spillovers of Brent and WTI as spillover transmitters show downward trends. The importance for spillovers of China-Shengli and Dubai as spillover receivers shows a downward trend. This paper provides new evidence for explaining WTI and Brent as global benchmark oil prices. In addition, systematic risk is time-varying, and it is smaller at short-term scale than at long-term scale. The trend of systematic risk is also discussed when typical oil-related events occur. This paper provides a new perspective for exploring dynamic spillovers and systematic risk that offers important implications for policymakers and market investors.
本研究使用结合小波变换的网络,调查了不同时间尺度下原油时间序列间的信息溢出情况。它能够检测在溢出动态过程中发挥重要作用的油价,还能基于不同尺度的熵分析系统风险的动态特征。结果表明,网络结构随时间变化,且能识别油价的重要作用。西德克萨斯中质油(WTI)和布伦特原油充当重要的溢出传递者,在某一尺度下其他油价是重要的溢出接收者。随着时间尺度的增加,作为溢出传递者的布伦特原油和WTI的邻域数量及其溢出重要性均呈下降趋势。中国胜利原油和迪拜原油作为溢出接收者的溢出重要性呈下降趋势。本文为解释WTI和布伦特原油作为全球基准油价提供了新证据。此外,系统风险是随时间变化的,且在短期尺度下比长期尺度下更小。还讨论了典型石油相关事件发生时系统风险的趋势。本文为探索动态溢出和系统风险提供了新视角,对政策制定者和市场投资者具有重要意义。