The Spillover Effect Of Global Oil Price Shocks On China’s Energy And Chemical Markets

The study is conducted under the violent oil price volatility,rising oil external dependency background.It is of great industrial innovation and strategic significance.Not only as the basic energy,crude is also one of the most important raw materials of energy and chemical industry.Crude oil is firstly refined into naphtha,then cracked into energy and chemical materials,finally processed to energy and chemical products.This,it is known as the upper driver of energy and chemical industry.Since crude oil is the upstream cost drivers for energy and chemical goods,the price fluctuations would affect downstream energy and chemical products prices.According to this,the study of the spillover effect of crude oil price fluctuations on China’s energy and chemical markets has strong realistic significance and industrial meaning,which might provide enlightenment for predicting energy and chemical product prices.The ARJI-GARCH model was applied to outline the characteristics of crude oil price fluctuations.Since crude oil price fluctuations are vulnerable to extreme factors and fluctuate remarkably,traditional GARCH model which can only depict the smooth changes of oil can’t reflect the "extreme" volatility of the crude oil prices.On the basic of this,"jump" of crude oil are introduced into model to depict the "sudden break"characteristics of crude oil prices.Combined "smooth fluctuation" and "jump" together,the article depict the fluctuation characteristics of crude oil.ARJI-GARCH analysis results show that the crude oil price has the characteristics of volatility clustering and jump.The article focuses on analyzing the characteristics of jump,finding that crude oil prices jump intensity maximized during the financial crisis in 2008 and the second half of 2014,which may attribute to the strong speculative emotion during the financial crisis of 2008 and the imbalance of supply and demand during the second half of 2014.At the same time,the paper uses the ARMA-GARCH model to study the spillover effect of crude oil price fluctuation on China’s energy and chemical markets from"fluctuation" and "jump" aspects.The paper not only studies the spillover effect of crude oil price fluctuations on the whole chemical and energy markets,but also selected three typical markets PTA,fuel oil and rubber as typical research objects.The spillover effect of international oil price fluctuations shows:firstly,the crude oil price fluctuations have asymmetric effects on the whole energy and chemical markets;the decline of oil price has greater impact on chemical and energy markets than the rise.The oil fluctuation asymmetric effect on energy and chemical market is attributed to "redistribution effect,"prospects the theory",the substitution of coal chemical industry to petrochemical industry;secondly,crude oil price fluctuations have different effects on typical energy and chemical markets:it has symmetric effect on fuel oil;while it has asymmetric effect on PTA and natural rubber.The symmetric effect between crude oil price and fuel oil and crude oil is mainly due to high positive correlation;the asymmetry between the oil and natural rubber is the combined result of partial equilibrium effect and substitution effect.The paper not only studies the spillover effect of the oil fluctuation on the energy and chemical markets,but also studies the spillover effects of oil jump on energy and chemical markets.The results show that:firstly,the international oil price jump has significant influence the on the whole energy and chemical markets for the reason that crude oil is the raw materials of energy and chemical industry and crude oil "jump"directly affect the energy and chemical products prices through the industry chain;secondly,oil price jump has different influence on typical energy and chemical markets:crude oil price jump has no significant effect on PTA,while it has significant effect on fuel oil and natural rubber.In my opinion,the reason why international oil price jumps has no significant effect on PTA are:Sinopec,Petro China,CNOOC monopoly PX which is the raw material of PTA;the consumption of downstream textile industry is fatigued which influences the support effect of oil price.By exploring the transmission mechanism of international oil price fluctuation on China’s energy and chemical markets,this paper finds that:crude oil price fluctuations influence energy and chemical markets directly through cost transmission and the transmission of crude oil to the market is smooth in the upstream and block in the middle and downstream;crude oil price fluctuations influence energy and chemical markets indirectly through coal chemical industry.Finally,on the basis of the research,this paper put forward the following suggestions for the government and relevant market participants:exploit economic means and financial means to reduce oil prices volatility impact on economy;solve the excess production problem of energy and chemical industry to improve price transfer ability;consider the oil price asymmetry effect to improve price forecast accuracy;enhance the development of coal chemical industry to better deal with oil security.