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Price volatility spillovers between supply chain and innovation of financial pledges in China

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  • Hu, Haiqing
  • Chen, Di
  • Sui, Bo
  • Zhang, Lang
  • Wang, Yinyin

Abstract

This study investigates the price volatility spillover of commodities in China using the Granger causality test and the variable structure Copula model, by employing data covering the daily average transaction prices of silver, copper, aluminum, rebar, and fuel oil from 2009 to 2017. The results show that the causal direction of price volatility spillover is uncertain, and that the impact from the correlation coefficients of copper and aluminum is the highest. Hence, there is a clear long-run price volatility spillover between silver and fuel oil as well as between silver and aluminum. Macroeconomic influences on different combinations of commodities present similar changing structure points, such as the debt crisis in Europe, the reduction of the quantitative easing monetary policy proposed by the U.S. Federal Reserve, and the promotion of RMB internationalization. Overall, our findings provide a theoretical reference for commercial banks to make full use of the volatility spillover effect between commodity pledges and their combinations, in order to achieve the goal of avoiding any price volatility risk.

Suggested Citation

  • Hu, Haiqing & Chen, Di & Sui, Bo & Zhang, Lang & Wang, Yinyin, 2020. "Price volatility spillovers between supply chain and innovation of financial pledges in China," Economic Modelling, Elsevier, vol. 89(C), pages 397-413.
    • Handle: RePEc:eee:ecmode:v:89:y:2020:i:c:p:397-413
    DOI: 10.1016/j.econmod.2019.11.012
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    More about this item

    Keywords

    Supply chain financial pledge; Volatility spillover effect; Variable structure copula; Granger causality test;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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