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author:

Ren, Yinghua (Ren, Yinghua.) [1] | Yang, Jiahui (Yang, Jiahui.) [2] | Ying, Wanming (Ying, Wanming.) [3] | Guo, Yawei (Guo, Yawei.) [4] (Scholars:郭亚伟)

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SSCI Scopus

Abstract:

This study uses a wavelet-based quantile approach to document the effects of disaggregated oil shocks on the Chinese non-ferrous metal market under various time horizons and quantiles. Oil shocks are decomposed into supply, aggregate demand, and oil-specific demand shocks based on a structural vector autoregressive model. Empirical results suggest that oil shocks have notable impacts on the Chinese non-ferrous metal market in the middle and long term, whereas the impacts in the short term are not significant. The impacts remain remarkably heterogeneous across quantile levels in the long term. Oil supply shocks significantly affect the non-ferrous metal market positively, but only at higher quantiles. The positive effect of aggregate demand shocks and the negative effect of oil-specific demand shocks are significant at lower quantiles. Moreover, copper is susceptible to oil shocks, compared with aluminium. These findings provide several implications for policymakers and investors.

Keyword:

C21 C51 heterogeneity L61 non-ferrous metal market Oil price shocks Q43 wavelet-based quantile

Community:

  • [ 1 ] [Ren, Yinghua]Hunan Univ, Sch Finance & Stat, Changsha, Peoples R China
  • [ 2 ] [Yang, Jiahui]Hunan Univ, Sch Finance & Stat, Changsha, Peoples R China
  • [ 3 ] [Ying, Wanming]Hunan Univ, Sch Finance & Stat, Changsha, Peoples R China
  • [ 4 ] [Guo, Yawei]Fuzhou Univ, Sch Econ & Management, 2 Xue Yuan Rd, Fuzhou 350108, Fujian, Peoples R China

Reprint 's Address:

  • 郭亚伟

    [Guo, Yawei]Fuzhou Univ, Sch Econ & Management, 2 Xue Yuan Rd, Fuzhou 350108, Fujian, Peoples R China

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Source :

APPLIED ECONOMICS

ISSN: 0003-6846

Year: 2024

1 . 8 0 0

JCR@2023

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count:

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 0

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