气候变化领域集成服务门户(CCPortal): Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets

CCPortal

DOI	10.1016/j.enpol.2022.113308
	Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets
	Zhang, Chuanguo; Shang, Hongli
发表日期	2023
ISSN	0301-4215
EISSN	1873-6777
卷号	172 页码:11
英文摘要	Considering the close relationship between the automobile market and the oil market, as well as the increasing dependence on foreign oil in China, it is worth focusing on the impact of global oil price fluctuations on China's automobile markets. This paper investigates the impact of different fluctuations in the global oil market on China's automobile market returns. First, the ARMA-EGARCH-ARJI model is applied to describe the charac-teristics of global oil fluctuations. Then, we use three specific models to discuss the impact of the expected and unexpected global oil price shocks and the global oil price jumps and explore whether there are corresponding price jumps in the automobile markets. We find that there are asymmetric effects of the influences of the ex-pected and unexpected global oil shocks. Moreover, there is a lag effect of the global oil price jumps on the automobile markets. In addition, global oil price jumps lead to 'U-shaped' responses in the automobile markets. In contrast to the literature, we introduce factors of price jumps into the subject market and the global oil market, and we discuss the effects of different types of global oil price shocks in detail, especially those concerning the influence of oil price jumps.
英文关键词	Global oil price; China?S automobile markets; Price jumps
学科领域	Economics; Energy & Fuels; Environmental Sciences; Environmental Studies
语种	英语
WOS研究方向	Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology
WOS记录号	WOS:000882273700007
来源期刊	ENERGY POLICY
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/272101
作者单位	Xiamen University
推荐引用方式 GB/T 7714	Zhang, Chuanguo,Shang, Hongli. Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets[J],2023,172:11.
APA	Zhang, Chuanguo,&Shang, Hongli.(2023).Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets.ENERGY POLICY,172,11.
MLA	Zhang, Chuanguo,et al."Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets".ENERGY POLICY 172(2023):11.