Network analysis of risk transmission among energy futures: An industrial chain perspective
Network analysis of risk transmission among energy futures: An industrial chain perspective
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DOI：
10.1016/j.eneco.2021.105798
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发表时间：
2022-02
期刊：
影响因子：
12.8
通讯作者：
Ruolan Ouyang;Tingting Wang;Xuan Zhang;Chen Zhuang
中科院分区：
文献类型：
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作者：
Ruolan Ouyang;Tingting Wang;Xuan Zhang;Chen Zhuang
能源价格的波动对经济的影响很大，因此有必要对能源商品之间的风险传导进行分析。本文利用最小生成树方法和连通性方法研究了中国能源期货之间的风险传递。11种大宗商品被考虑，其中包括两种全球交易的原油。得到了四个主要结果。首先，MST分析提供了产业集聚的证据。第二，风险一般是从石化部门向煤炭部门传导；而各部门的风险传导主要是从上游向下游产品溢出。第三，“甲醇-聚乙烯”架起了煤炭和石化行业的桥梁，自新冠肺炎爆发以来，这两个行业之间的纽带得到了加强。第四，能源市场的系统性风险增加，自大流行开始以来，几种大宗商品在网络中经历了角色颠倒，特别是在石化领域。
The fluctuation of energy prices has a great impact on the economy, making it essential to analyze the risk transmission among energy commodities. In this paper, we use the minimum spanning tree (MST) approach and connectedness method to study the risk transmission among energy futures in China. Eleven commodities, including two globally traded crude oil, are considered. Four major results are obtained. First, MST analysis provides evidence of industry clustering. Second, the risk transmission is generally from the petrochemical sector to the coal sector; while the risk transmission in each sector mainly spills from upstream to the downstream products. Third, “methanol - polyethylene” bridges the coal sector and petrochemical sector, through which the link between the two sectors has been strengthened since the outbreak of COVID-19. Fourth, the systemic risk of the energy market has increased, and several commodities have experienced a role reversal in the network since the pandemic began, especially in the petrochemical sector.