School of Economics and Management, China University of Petroleum (East China), Qingdao, 266580, China.
CNPC Managers Training Institute, Beijing, 100096, China.
Environ Sci Pollut Res Int. 2024 Mar;31(13):19381-19395. doi: 10.1007/s11356-024-32250-z. Epub 2024 Feb 15.
This study establishes a comprehensive suite of sanction indices and employs the time-varying vector autoregressive dynamic spillover index (TVP-VAR-DY) model, to examine the spillover effects of EU economic sanctions against Russia on oil prices and share prices of third-country energy companies, as well as takes China and the USA as examples for analysis. The findings indicate that sanctions targeting the energy sector are the primary drivers of volatility in oil prices and energy company stock prices. The impact on Chinese energy firms' stock prices is more pronounced, while the effects on their American counterparts are more enduring. The indirect impact of EU sanctions on Russia on China is greater than that of the USA. Both direct and indirect sanctions exhibit comparable spillover effects on oil and stock prices. Direct sanctions have better explanatory power for stock price fluctuations, while indirect sanctions have better explanatory power for oil price fluctuations.
本研究建立了一套全面的制裁指数，并采用时变向量自回归动态溢出指数（TVP-VAR-DY）模型，考察了欧盟对俄罗斯经济制裁对石油价格和第三国能源公司股价的溢出效应，并以中国和美国为例进行了分析。研究结果表明，针对能源部门的制裁是石油价格和能源公司股价波动的主要驱动因素。对中国能源企业股价的影响更为显著，而对美国能源企业的影响则更为持久。欧盟对俄罗斯的间接制裁对中国的影响大于美国。直接和间接制裁对石油和股票价格都有类似的溢出效应。直接制裁对股价波动具有更好的解释力，而间接制裁对油价波动具有更好的解释力。
