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Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI
- Source :
- Energy. 176:900-916
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
Abstract
- Using the monthly Producer Price Index (PPI) of 37 different industries in China from 2007 to 2017, this study established a Markov regime -switching model to analyze the regime differences and industry heterogeneity of the transmission of volatility from energy price to PPI. The results showed that volatility in energy prices within a given regime has a relatively high “inertia”. Regardless of being in a high- or low-volatility regime, volatility in energy prices was found to have a positive transmission effect on the PPI. In addition, the transmission coefficients of the low-volatility regime tended to be higher than the transmission coefficients of the high-volatility regime. Further analysis revealed that the impact of the volatility in energy prices on the PPI of factors of production was significantly greater than the impact on the PPI of consumer products. Furthermore, in terms of industry heterogeneity, the transmission coefficients of energy and resource industries were found to be the greatest, followed by energy- and resource-intensive industries, and labor-intensive industries; the transmission coefficients of technology- and capital-intensive industries were the lowest.
- Subjects :
- 020209 energy
Mechanical Engineering
Factors of production
02 engineering and technology
Building and Construction
Pollution
Industrial and Manufacturing Engineering
General Energy
020401 chemical engineering
0202 electrical engineering, electronic engineering, information engineering
Econometrics
Economics
0204 chemical engineering
Electrical and Electronic Engineering
Volatility (finance)
Volatility transmission
Civil and Structural Engineering
Subjects
Details
- ISSN :
- 03605442
- Volume :
- 176
- Database :
- OpenAIRE
- Journal :
- Energy
- Accession number :
- edsair.doi...........cbac1e7d7e54299cd5b162239b05c3fb