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How do China's oil markets affect other commodity markets both domestically and internationally?

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  • Ji, Qiang
  • Fan, Ying

Abstract

This study investigates the contemporaneous causality between China's oil markets with other commodity markets both domestically and internationally using an error correction model combined with a directed acyclic graph technique. The results indicate that China's oil markets are cointegrated with other commodity markets both domestically and internationally. The impact of China's fuel oil futures market on other domestic commodity markets is great when oil prices are high, but the influence is comparatively weak when oil prices are lower. However, due to the lack of futures market, China's crude oil market has little influence on other commodity markets at any time.

Suggested Citation

  • Ji, Qiang & Fan, Ying, 2016. "How do China's oil markets affect other commodity markets both domestically and internationally?," Finance Research Letters, Elsevier, vol. 19(C), pages 247-254.
  • Handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:247-254
    DOI: 10.1016/j.frl.2016.08.009
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    References listed on IDEAS

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    2. repec:eee:eneeco:v:69:y:2018:i:c:p:79-88 is not listed on IDEAS
    3. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
    4. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
    5. repec:eee:finlet:v:24:y:2018:i:c:p:151-162 is not listed on IDEAS
    6. repec:eco:journ2:2018-04-16 is not listed on IDEAS
    7. repec:eee:finlet:v:21:y:2017:i:c:p:126-131 is not listed on IDEAS

    More about this item

    Keywords

    Information transmission; Directed acyclic graph method; Commodity market;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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