تاثیر شوک های قیمت نفت جهانی بر بخش عمده بازار کالای چین و صنایع اساسی

This paper investigated the reaction of aggregate commodity market to oil price shocks and also explored the effects of oil price shocks on China's fundamental industries: metals, petrochemicals, grains and oilfats. We separated the volatilities of oil price into expected, unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets. We contrasted the results between different periods and among classified indices, in order to discover the significant changes in recent years and the differences at an industry level. Our results indicate that the aggregate commodity market was affected by both expected and unexpected oil price volatilities in China. The impact of unexpected oil price volatilities became more complex after 2007. The metals and grains indices did not significantly respond to the expected volatility in oil prices, in contrast to the petrochemicals and oilfats indices. These results not only contribute to advancing the existing literature, but also merit particular attention from policy makers and market investors in China.

Over the past few years, a rising demand from emerging economies and limited supplies from oil producing countries due to political tensions have frequently pushed oil prices to dramatically high levels. However, China, whose economic growth increasingly depends upon energy consumption, was the second largest consumer of oil in the world after the United States from 2002 to 2011 and is now the largest energy consumer in the world. The Chinese government is now facing severe challenges from an energy supply gap. China's dependence on imported oil has increased to over 53.9%. With high oil prices and high energy consumption, the energy issue has become critical and strategic to long-term development in China. Crude oil is the most influential resource of raw materials and primary energies. It has been deemed the life blood of industrial economics. China is playing a more important role in the world economy and is becoming more heavily dependent on imported oil. The volatility of crude oil prices will undoubtedly affect China's economy. Moreover, this volatility could be transferred to the bulk commodity markets through various transmission mechanisms and further impact relevant industries through the chains of manufacturing, transportation and maintenance closely linked with the global oil markets. Furthermore, the present development of the commodity future market in China is rapid. Not only its effectiveness and functionality is evident, but also its global position and influence has greatly advanced. Therefore, it is necessary to recognize the volatility spillover effects of oil price shocks on the bulk commodity markets and relevant industries in China. This paper investigated the reaction of aggregate commodity market to oil price shocks and the effects of oil price shocks on China’s fundamental industries. We employed the ARJI and its extended model (ARJI-ht), incorporating with the EGARCH method, to interpret the jump behaviors and volatility processes of various commodity indices. Moreover, we separated the volatilities of oil price into expected, unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets. We contrasted the results between different periods and among classified indices, in order to discover the significant changes in recent years and the differences at an industry level. Our results indicate that the aggregate commodity market was affected by both expected and unexpected oil price volatilities in China. The impact of unexpected oil price volatilities became more complex after 2007. The metals and grains index did not significantly respond to the expected volatility in oil prices, in contrast to the petrochemicals and oilfats index. This research not only contributes to knowledge about the jump behaviors of China's commodity markets and the different effects of oil price shocks at an industry level, but also is conducive to analyzing the problems existing in the markets of China's petroleum and commodity futures. Our results merit particular attention from policy makers and market investors in China.