IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • Ji, Qiang
  • Fan, Ying
Registered author(s):

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/pii/S1544612316301441
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 19 (2016)
Issue (Month): C ()
Pages: 247-254

as
in new window

Handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:247-254
DOI: 10.1016/j.frl.2016.08.009
Contact details of provider: Web page: http://www.elsevier.com/locate/frl

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Pawe{\l} Sieczka & Janusz A. Ho{\l}yst, 2008. "Correlations in commodity markets," Papers 0803.3884, arXiv.org, revised Jan 2009.
  2. Harri, Ardian & Nalley, Lanier & Hudson, Darren, 2009. "The Relationship between Oil, Exchange Rates, and Commodity Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 41(02), pages 501-510, August.
  3. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
  4. Nazlioglu, Saban & Soytas, Ugur, 2011. "World oil prices and agricultural commodity prices: Evidence from an emerging market," Energy Economics, Elsevier, vol. 33(3), pages 488-496, May.
  5. Baffes, John, 2007. "Oil spills on other commodities," Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
  6. Hammoudeh, Shawkat & Yuan, Yuan, 2008. "Metal volatility in presence of oil and interest rate shocks," Energy Economics, Elsevier, vol. 30(2), pages 606-620, March.
  7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  8. Chang, Ting-Huan & Su, Hsin-Mei, 2010. "The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods," Energy, Elsevier, vol. 35(7), pages 2807-2813.
  9. Chen, K.C. & Chen, Shaoling & Wu, Lifan, 2009. "Price causal relations between China and the world oil markets," Global Finance Journal, Elsevier, vol. 20(2), pages 107-118.
  10. Nazlioglu, Saban, 2011. "World oil and agricultural commodity prices: Evidence from nonlinear causality," Energy Policy, Elsevier, vol. 39(5), pages 2935-2943, May.
  11. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  12. Yang, Jian & Guo, Hui & Wang, Zijun, 2006. "International transmission of inflation among G-7 countries: A data-determined VAR analysis," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2681-2700, October.
  13. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-1189, December.
  14. Nazlioglu, Saban & Soytas, Ugur, 2012. "Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis," Energy Economics, Elsevier, vol. 34(4), pages 1098-1104.
  15. Ji, Qiang & Fan, Ying, 2016. "Evolution of the world crude oil market integration: A graph theory analysis," Energy Economics, Elsevier, vol. 53(C), pages 90-100.
  16. Reboredo, Juan C. & Ugolini, Andrea, 2016. "The impact of downward/upward oil price movements on metal prices," Resources Policy, Elsevier, vol. 49(C), pages 129-141.
  17. Sieczka, Paweł & Hołyst, Janusz A., 2009. "Correlations in commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1621-1630.
  18. Sari, Ramazan & Hammoudeh, Shawkat & Soytas, Ugur, 2010. "Dynamics of oil price, precious metal prices, and exchange rate," Energy Economics, Elsevier, vol. 32(2), pages 351-362, March.
  19. Cody, Brian J & Mills, Leonard O, 1991. "The Role of Commodity Prices in Formulating Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 358-365, May.
  20. Ftiti, Zied & Fatnassi, Ibrahim & Tiwari, Aviral Kumar, 2016. "Neoclassical finance, behavioral finance and noise traders: Assessment of gold–oil markets," Finance Research Letters, Elsevier, vol. 17(C), pages 33-40.
  21. Titus O. Awokuse & David A. Bessler, 2003. "Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 1-24, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:247-254. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.