Research On The Risk Spillover Effect Of International Crude Oil Futures On Oil-Related Industries

As an important raw material for maintaining industrial production and social economy,crude oil has a profound impact on the production and life of China.Along with the continuous development of China’s social economy,domestic crude oil production can hardly meet the development needs of related industries and needs to be imported in large quantities,leading to closer ties between domestic oil-related industries and international crude oil.In recent years,international crude oil futures prices have fluctuated drastically due to the impact of international emergencies such as the New Crown epidemi c and the Russia-Ukraine conflict.As a major crude oil supplier,the price fluctuations are bound to affect the stability of China’s financial system and even the real economy.Therefore,exploring the risk spillover effects of international crude oil futures on China’s oil-related industries is of vital importance to prevent and resolve external risks,safeguard the stability of financial markets,and ensure the stable and sustainable development of the real economy.This paper uses the Copula-CoVaR model to explore the risk spillover effects of international crude oil futures on China’s oil-related industries,and analyzes the inter-subject correlations and the differences between upward and downward risk spillovers,which consists of the following seven parts: the first part introduces the background and significance of the study,and reviews the literature from four aspects,including the correlations between international crude oil futures and related industries;the second part defines the relevant concepts of this paper,and explains the financial risk spillover effects.The second part defines the concepts of this paper and elaborates the theories related to financial risk generation and risk spillover mechanism to provide theoretical support for the subsequent mechanism analysis and empirical evidence;the third part analyzes the current development status of international crude oil futures and oil-related industries,the current risk status,and the inter-subject impact mechanism;the fourth part introduces the relevant empirical models used in this paper;the fifth part selects WTI crude oil futures and oil-related industries as the research objects.The fifth section selects WTI crude oil futures and oil-related industries as the research object,adopts static and time-varying Copula models to portray the correlation between international crude oil futures and oil-related industries from both static and dynamic perspectives,and further calculates the dynamic CoVaR based on the optimal static Copula model to explore the risk spillover effect of international crude oil futures on oil-related industries;the sixth section proposes recommendations on the regulation and prevention measures of risk spillover based on the empirical results.In the sixth section,we propose recommendations on the regulation and preventive measures for risk spillover.The study finds that:(1)International crude oil futures have the strongest static and dynamic correlations with the energy industry,and the correlations with the four oil-related industries have significant time-varying characteristics.(2)The correlation between international crude oil futures and optional consumption industries is the most dramatic,and the dynamic correlation coefficients between international crude oil futures and the four oil-related industries all show structural abrupt changes in the first half of 2020,and their values reach the maximum in the sample period.(3)The intensity of upside and downside risk spillover and risk spillover volatility of international crude oil futures to the energy sector are relatively the largest,while in contrast the intensity of risk spillover to the raw materials sector is relatively the smallest.(4)The risk spillover effects of international crude oil futures on the four industries are significantly heterogeneous and asymmetric.Among them,the downside risk spillover of international crude oil futures to the same industry is stronger than the upside risk spillover.Based on the above empirical results,this paper puts forward corresponding risk regulation and prevention suggestions in terms of preventing and resolving external risks and enhancing the risk resilience of oil-related industries.