3 results
Search Results
2. Risk Contagion between Global Commodities from the Perspective of Volatility Spillover.
- Author
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Shen, Hong, Pan, Qi, Zhao, Lili, and Ng, Pin
- Subjects
ECONOMIC expectations ,COVID-19 pandemic ,MONEY supply ,CONSUMER confidence ,METAL products ,PETROLEUM - Abstract
Prices of oil and other commodities have fluctuated wildly since the outbreak of the COVID-19 pandemic. It is crucial to explore the causes of price fluctuations and understand the source and path of risk contagion to better mitigate systemic risk and maintain economic stability. The paper adopts the method of network topology to examine the path of risk contagion between China's and foreign commodities, focusing on the dynamic evolution and transmission mechanism of risk contagion during the pandemic. This research found that among China's commodities, energy, grain, and textiles are net recipients of risk contagion, while chemical products and metals are net risk exporters. Among international commodities, industries have positive risk spillover effects on metals and textiles. During the first phase of the pandemic, China's commodities were the main exporters of risk contagion. However, international industries and metals became the main risk exporters and exerted risk spillover on China's commodities in the second phase of the pandemic. Moreover, based on total volatility spillover index of commodities, the risk contagion among the commodities follows three paths: "interest rate → commodities → money supply", "China's economic expectation → commodities → foreign economic expectation", and "commodities → consumer confidence". [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
3. The Dynamic Impacts of the COVID-19 Pandemic on Log Prices in China: An Analysis Based on the TVP-VAR Model.
- Author
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Tao, Chenlu, Diao, Gang, and Cheng, Baodong
- Subjects
COVID-19 pandemic ,PANDEMICS ,IMPULSE response ,FOREIGN exchange rates ,RAW materials ,INTERNATIONAL markets ,PETROLEUM - Abstract
China's wood industry is vulnerable to the COVID-19 pandemic since wood raw materials and sales of products are dependent on the international market. This study seeks to explore the speed of log price recovery under different control measures, and to perhaps find a better way to respond to the pandemic. With the daily data, we utilized the time-varying parameter autoregressive (TVP-VAR) model, which can incorporate structural changes in emergencies into the model through time-varying parameters, to estimate the dynamic impact of the pandemic on log prices at different time points. We found that the impact of the pandemic on oil prices and Renminbi exchange rate is synchronized with the severity of the pandemic, and the ascending in the exchange rate would lead to an increase in log prices, while oil prices would not. Moreover, the impulse response in June converged faster than in February 2020. Thus, partial quarantine is effective. However, the pandemic's impact on log prices is not consistent with changes of the pandemic. After the pandemic eased in June 2020, the impact of the pandemic on log prices remained increasing. This means that the COVID-19 pandemic has long-term influences on the wood industry, and the work resumption was not smooth, thus the imbalance between supply and demand should be resolved as soon as possible. Therefore, it is necessary to promote the development of the domestic wood market and realize a "dual circulation" strategy as the pandemic becomes a "new normal". [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
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