The impact of global oil price shocks on China's agriculture markets
Read
DownLoad |
| Title | The impact of global oil price shocks on China's agriculture markets
|
| Author | Zhang Chuanguo and Liu Feng |
| Organization | School of Economics in Xiamen University |
| Email | cgzhang@xmu.edu.cn |
| Key Words | Crude Oil price; Volatility Jump; Agriculture Market; Spillover Effect; ARJI Model |
| Abstract | This paper investigated global oil price’s shocks and its spillover effects on China's agriculture markets using improved ARMA-GARCH-ARJI model and ARMA-EGARCH model. The results show that all change rates of prices (index) had significant skewed normal volatility clustering effects, and the volatility of oil price was characterized by an intermittent jump feature. In terms of its spillover effects, although the impacts of "expected" and "unexpected" oil price shocks were significantly asymmetric, but the transmission mechanisms were different. As for the volatility jump shocks, the risk rates of agriculture markets were excessively ?sensitive to the “abnormal” jumps of oil market risk, and presented an "over-adjusting first and then rationally callback tendency" in China's agriculture markets at both overall and specific market levels. |
| Serial Number | WP1259 |
| Time | 2018-01-26 |
|