Study On Spillover Effect Between Crude Oil,Coal And Natural Gas Markets

Energy,as an important power source and raw material supply for human society,has an important influence in the field of national economy and security.In recent years,the"Dual-Carbon Goal"has been further advanced,and the world’s energy structure is being reshaped.Similarly,China has also begun to transform into clean energy such as natural gas.This paper compares high-polluting and high-energy consumption traditional energy---crude oil,coal with low-pollution and low-energy consumption---natural gas,trying to reflect the changes of Chinese future energy structure in the research of the three markets,and enrich the existing energy market theories.This paper selects WTI crude oil futures,Zhengzhou Commodity Exchange thermal coal futures,and China LNG price index as three market price representatives,and uses VAR model,BEKK-GARCH model,and DY model to study the spillover effect between the three markets of crude oil,coal and natural gas from 2017 to 2021,from the perspectives of qualitative and quantitative analysis,especially the information transmission relationship between the three markets when extreme volatility occurs in a certain market.The study found that whether it is price spillover or volatility spillover,the three market returns are affected by past transactions;in terms of price spillover,the coal market has a one-way spillover effect on the crude oil market,and the natural gas market has a one-way spillover effect on the coal market and the crude oil market on natural gas.In terms of volatility spillovers,Chinese coal and natural gas markets have two-way volatility spillovers,and the natural gas market has a continuous volatility spillover effect on the crude oil market.With the passage of time,the spillovers of the three markets are also increasing,and the spillovers of a certain market will increase significantly during periods of severe volatility;the crude oil market is a net spillover of information most of the time,but it will remain a net information spillover after 2021.The receiver,while the coal market has been acting as a net spillover after 2021,and the natural gas market is the receiver of information most of the time.The recent international situation is turbulent and in the context of the transformation and upgrading of the global energy structure,the above results will help investors to scientifically set diversification and optimal portfolio allocation to deal with the risk contagion of the energy market,and government departments to formulate scientific and reasonable policy support the utilization and development of clean energy such as natural gas,and also provides a theoretical basis for China to explore and improve the natural gas pricing mechanism and develop the natural gas derivatives market.