IDEAS home Printed from https://ideas.repec.org/a/zag/zirebs/v23y2020i1p95-119.html
   My bibliography  Save this article

A Dynamic Network Comparison Analysis of Crude Oil Trade: Evidence from Eastern Europe and Eurasia

Author

Listed:
  • Masoud Shirazi Abdolrasoul Ghasemi Teymour Mohammadi Jurica Šimurina Ali Faridzad Atefeh Taklif

    (Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran. Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran. Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran. Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia. Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran. Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.)

Abstract

This article characterizes a dynamic crude oil trade network of Eastern Europe and Eurasia using the network connectedness measure of Diebold and Yilmaz (2014, 2015) and asymmetric reaction of crude oil bilateral trade flow in response to the positive and negative changes of its key determinants using the nonlinear panel ARDL model. Results indicate the existence of large and time-varying spillovers with a considerable explanatory power among the crude oil trade flow volatility of Iran, Russia, US and Saudi Arabia in Eastern Europe and Eurasia crude oil trade network. The findings also show that crude oil trade flow of Eastern Europe and Eurasia experiences net volatility transmission to Iran, Russia and US respectively, whereas it is a net volatility receiver from Saudi Arabia. Also based on gravity models, the analysis confirms the existence of impact, reaction and adjustment asymmetry through different magnitude among network participants. JEL Classification: C22, F13, Q370, Q43, Q47, Q370, C320

Suggested Citation

  • Masoud Shirazi Abdolrasoul Ghasemi Teymour Mohammadi Jurica Šimurina Ali Faridzad Atefeh Taklif, 2020. "A Dynamic Network Comparison Analysis of Crude Oil Trade: Evidence from Eastern Europe and Eurasia," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 23(1), pages 95-119, May.
    • Handle: RePEc:zag:zirebs:v:23:y:2020:i:1:p:95-119
    DOI: 10.2478/zireb-2020-0007
    as

    Download full text from publisher

    File URL: https://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=346047
    Download Restriction: Abstract only available on-line
    File URL: https://libkey.io/10.2478/zireb-2020-0007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Maria Persson & Fredrik Wilhelmsson, 2016. "EU Trade Preferences and Export Diversification," The World Economy, Wiley Blackwell, vol. 39(1), pages 16-53, January.
    2. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    3. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    4. James E. Anderson & Eric van Wincoop, 2003. "Gravity with Gravitas: A Solution to the Border Puzzle," American Economic Review, American Economic Association, vol. 93(1), pages 170-192, March.
    5. Guan, Qing & An, Haizhong & Gao, Xiangyun & Huang, Shupei & Li, Huajiao, 2016. "Estimating potential trade links in the international crude oil trade: A link prediction approach," Energy, Elsevier, vol. 102(C), pages 406-415.
    6. Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016. "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 406-418.
    7. Dennis Novy, 2013. "Gravity Redux: Measuring International Trade Costs With Panel Data," Economic Inquiry, Western Economic Association International, vol. 51(1), pages 101-121, January.
    8. Tsurumi Tetsuya & Managi Shunsuke & Hibiki Akira, 2015. "Do Environmental Regulations Increase Bilateral Trade Flows?," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 15(4), pages 1549-1577, October.
    9. Al Rousan, Sahel & Sbia, Rashid & Tas, Bedri Kamil Onur, 2018. "A dynamic network analysis of the world oil market: Analysis of OPEC and non-OPEC members," Energy Economics, Elsevier, vol. 75(C), pages 28-41.
    10. Kazuki Kagohashi & Tetsuya Tsurumi & Shunsuke Managi, 2015. "The Effects of International Trade on Water Use," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-16, July.
    11. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    12. Bougheas, Spiros & Demetriades, Panicos O. & Morgenroth, Edgar L. W., 1999. "Infrastructure, transport costs and trade," Journal of International Economics, Elsevier, vol. 47(1), pages 169-189, February.
    13. Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
    14. Katrakilidis, Constantinos & Trachanas, Emmanouil, 2012. "What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration," Economic Modelling, Elsevier, vol. 29(4), pages 1064-1069.
    15. Balabanov, Todor, 1998. "Energy in FSU and Eastern Europe: from planned integration to market diversification," Energy Policy, Elsevier, vol. 26(2), pages 71-73, February.
    16. Managi, Shunsuke & Hibiki, Akira & Tsurumi, Tetsuya, 2009. "Does trade openness improve environmental quality?," Journal of Environmental Economics and Management, Elsevier, vol. 58(3), pages 346-363, November.
    17. Imam Alam & Rahim Quazi, 2003. "Determinants of Capital Flight: An econometric case study of Bangladesh," International Review of Applied Economics, Taylor & Francis Journals, vol. 17(1), pages 85-103.
    18. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    19. Edward F. Blackburne III & Mark W. Frank, 2007. "Estimation of nonstationary heterogeneous panels," Stata Journal, StataCorp LP, vol. 7(2), pages 197-208, June.
    20. Qing Guan & Haizhong An & Xiaoqing Hao & Xiaoliang Jia, 2016. "The Impact of Countries’ Roles on the International Photovoltaic Trade Pattern: The Complex Networks Analysis," Sustainability, MDPI, vol. 8(4), pages 1-16, March.
    21. An, Qier & Wang, Lang & Qu, Debin & Zhang, Hujun, 2018. "Dependency network of international oil trade before and after oil price drop," Energy, Elsevier, vol. 165(PA), pages 1021-1033.
    22. Yoo, S.-H., 2006. "The causal relationship between electricity consumption and economic growth in the ASEAN countries," Energy Policy, Elsevier, vol. 34(18), pages 3573-3582, December.
    23. Zhang, Hai-Ying & Ji, Qiang & Fan, Ying, 2015. "What drives the formation of global oil trade patterns?," Energy Economics, Elsevier, vol. 49(C), pages 639-648.
    24. Anderson, James E, 1979. "A Theoretical Foundation for the Gravity Equation," American Economic Review, American Economic Association, vol. 69(1), pages 106-116, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yazdani, Mehdi & Pirpour, Hamed, 2020. "Evaluating the effect of intra-industry trade on the bilateral trade productivity for petroleum products of Iran," Energy Economics, Elsevier, vol. 86(C).
    2. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    3. Lovcha, Yuliya & Pérez Laborda, Àlex, 2018. "Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns," Working Papers 2072/307362, Universitat Rovira i Virgili, Department of Economics.
    4. Léopold BIARDEAU & Anne BORING, 2017. "L’impact de l’aide au développement sur les flux commerciaux entre pays donateurs et pays récipiendaires," Working Paper 464d860e-562e-4ae7-98f5-1, Agence française de développement.
    5. Umar, Zaghum & Riaz, Yasir & Aharon, David Y., 2022. "Network connectedness dynamics of the yield curve of G7 countries," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 275-288.
    6. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    7. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
    8. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    9. Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    10. Elsayed, Ahmed H. & Ahmed, Habib & Husam Helmi, Mohamad, 2023. "Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    11. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
    12. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    13. Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
    14. Christian Urom & Gideon Ndubuisi & Jude Ozor, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, CEPII research center, issue 165, pages 51-66.
    15. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
    16. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    17. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers 1320, Koc University-TUSIAD Economic Research Forum.
    18. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    19. Maria Cipollina & Luca De Benedictis & Luca Salvatici & Claudio Vicarelli, 2016. "Policy Measurement And Multilateral Resistance In Gravity Models," Working Papers LuissLab 16130, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    20. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.

    More about this item

    Keywords

    Crude Oil Trade; Dynamic Network Connectedness Measure; Gravity Model; Nonlinear Panel ARDL Model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zag:zirebs:v:23:y:2020:i:1:p:95-119. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jurica Šimurina (email available below). General contact details of provider: https://edirc.repec.org/data/fefzghr.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.