Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility

摘要: We study the time-frequency dynamics of stochastic volatility spillovers between international crude oil markets and China’s commodity sectors in spectral representation framework generalized forecast error variance decomposition (GFEVD). find evidence that has significant spillover effects on China's bulk markets, are sensitive to extreme geopolitical or financial events. The net almost positive driven mainly by short-term components (within a week). However, uncertain factors from China such as market-oriented reform 2013 stock disaster 2015 adversely affect oil-commodity through medium-term (week month) long-term (month year). Moreover, prices different heterogeneous. Metal, coal coke steel ore energy more affected prices, while non-metal building materials agricultural commodities less affected. These outcomes implement necessary implications for investors policymakers.