Zhang Tingting, Tang Zhenpeng
School of economics and management, Fujian Agriculture and Forestry University, Fuzhou, 350002, China.
Environ Sci Pollut Res Int. 2023 Oct;30(47):104116-104134. doi: 10.1007/s11356-023-29624-0. Epub 2023 Sep 12.
Understanding the risk spillover of the oil market in economic uncertainty is of great importance. However, it is difficult to take on a traditional single perspective in describing the risk spillover law of economic uncertainty in the crude oil market on different timescales. In order to fill the research gap resulting from such difficulty, this paper incorporates empirical mode decomposition into the time-varying Copula-CoVaR model, and for the first time explores the risk spillover path of economic uncertainty on the two international crude oil pricing benchmarks-Brent and West Texas Intermediate crude oil prices-using different timescales. The empirical results not only verify the necessity of research from the perspective of different timescales, but also reveal the heterogeneity of the risk spillover paths of different types of economic uncertainty on crude oil prices. The research in this paper provides a multi-perspective interpretation for understanding the complex risk spillovers between various economic uncertainties and the crude oil market, as well as providing meaningful information to support stakeholders in making rational decisions.
理解经济不确定性下石油市场的风险溢出具有重要意义。然而，在描述不同时间尺度下原油市场经济不确定性的风险溢出规律时，很难采用传统的单一视角。为了填补由此产生的研究空白，本文将经验模态分解纳入时变Copula-CoVaR模型，并首次利用不同时间尺度探索经济不确定性在两个国际原油定价基准——布伦特原油价格和西德克萨斯中质原油价格——上的风险溢出路径。实证结果不仅验证了从不同时间尺度进行研究的必要性，还揭示了不同类型经济不确定性对原油价格的风险溢出路径的异质性。本文的研究为理解各种经济不确定性与原油市场之间复杂的风险溢出提供了多视角的解释，也为支持利益相关者做出理性决策提供了有意义的信息。
