KMS Of Academy of mathematics and systems sciences, CAS
Understanding the linkage-dependence structure between oil and gas markets: A new perspective | |
Wei, Zhaohao1; Chai, Jian2; Dong, Jichang1; Lu, Quanying3 | |
2022-10-15 | |
发表期刊 | ENERGY |
ISSN | 0360-5442 |
卷号 | 257页码:18 |
摘要 | With the acceleration of the low-carbon transition process, the increasingly complex oil-gas relationship poses serious challenges to the economic development and energy security of countries around the world. In this context, this paper innovatively proposes the frequency domain decomposition attribution framework named CEEMDAN-JADE-RT and systematically analyzes and quantifies the intrinsic mechanism of the development and evolution of linkage-dependence structure between crude oil and natural gas markets. The empirical results show that there are various complex risk characteristics in the oil-gas relationship accompanied by significant regional differences and mutational structures. In terms of the intrinsic mechanism, the abrupt change of oil-gas relationship can't be completely attributed to outburst events. Overall, the transformation of supply and demand dominates the evolution of oil-gas relationship in the Middle East, contributing 39.84% on average. Major outburst events dominate the evolution of the relationship between oil and gas markets in China, Japan, Northwest Europe and the United States, with an average contribution of 48.42%, 39.12%, 37.04% and 38.86% respectively. In addition, speculation also has a significant impact on the change of oil-gas linkage dependency relation, with an average contribution of 25.44%-35.88%. These results are of great significance for energy policy formulation and risk management. (C) 2022 Elsevier Ltd. All rights reserved. |
关键词 | Oil and gas markets Characteristic evolution Intrinsic mechanism quantification Non-parametric test Multivariate GARCH-Copula CEEMDAN-JADE-RT |
DOI | 10.1016/j.energy.2022.124755 |
收录类别 | SCI |
语种 | 英语 |
资助项目 | National Natural Science Foundation of China (NSFC)[71473155] ; New Star of Youth Science and Technology Plan Project in Shaanxi Province, China[2016KJXX-14] ; 2016 Annual Basic Scientific Research Project of Xidian University[JB160603] |
WOS研究方向 | Thermodynamics ; Energy & Fuels |
WOS类目 | Thermodynamics ; Energy & Fuels |
WOS记录号 | WOS:000838672700001 |
出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/61103 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Wei, Zhaohao; Chai, Jian |
作者单位 | 1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Xidian Univ, Sch Econ & Management, Xian 710071, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
推荐引用方式 GB/T 7714 | Wei, Zhaohao,Chai, Jian,Dong, Jichang,et al. Understanding the linkage-dependence structure between oil and gas markets: A new perspective[J]. ENERGY,2022,257:18. |
APA | Wei, Zhaohao,Chai, Jian,Dong, Jichang,&Lu, Quanying.(2022).Understanding the linkage-dependence structure between oil and gas markets: A new perspective.ENERGY,257,18. |
MLA | Wei, Zhaohao,et al."Understanding the linkage-dependence structure between oil and gas markets: A new perspective".ENERGY 257(2022):18. |
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