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Dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metal futures market

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  • Zhang, Tianding
  • Zeng, Song

Abstract

This paper analyses the dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metals futures by combining the application of Copula and CoVaR models, considering the effects of structural breaks and the frequency of cycles. The results show a positive linkage between crude oil and China's non-ferrous metals, with significant long-period comovement. Upside risk in crude oil prices can generate stronger extreme shocks to non-ferrous metals, as evidenced by the outbreak of COVID-19 in 2020. Compared to zinc and aluminum, copper is more susceptible to risk spillovers from crude oil, particularly in the event of a downside trend in crude oil. In addition, WTI crude oil and Brent crude oil show some variability in the upper and lower tail spillover effects. Our research explained to some extent the time-varying, cyclical and asymmetric impact on the non-ferrous metal futures market under crude oil shocks, which can be informative for industry planners, regulators, and investors in making targeted decisions. It is mainly the case when dealing with the many effects of geopolitical conflicts, trade frictions, and commodity supply and demand mismatches.

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  • Zhang, Tianding & Zeng, Song, 2023. "Dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metal futures market," Resources Policy, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722007061
    DOI: 10.1016/j.resourpol.2022.103263
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    More about this item

    Keywords

    Crude Oil; China's non-ferrous metals; Comovement; Risk spillovers; Cycle;
    All these keywords.

    JEL classification:

    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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