Price volatility spillovers between supply chain and innovation of financial pledges in China |
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| Institution: | 1. School of Economic and Management, Xi’an University of Technology, Xi’an, Shaanxi, China;2. International Business School, Shaanxi Normal University, Xi’an, Shaanxi, China;1. University of Tunis, High Institute of Management, Tunis, Tunisia;2. College of Business Administration, AlBaha University, Saudi Arabia;3. Univ. Manouba, ESCT, RIM RAF, UR13ES56, Tunisia;4. University of Jeddah, College of Business, Department of Accounting, Jeddah, Saudi Arabia;5. University of Tunis, ISG, GEF-2A Lab, Tunis, Tunisia;6. University of Manouba, ESC, Manouba, Tunisia;1. Universidad Autónoma de Madrid, Spain;2. Universidad Complutense de Madrid, Spain;1. European Commission, DG Joint Research Centre, Via Fermi 2749, I-21027, Ispra VA, Italy;2. Inter-American Development Bank, Calle 50 con Elvira Méndez, Tower Bank, Floor 23, Panama City, Panama;1. Department of Humanities and Social Sciences, Indian Institute of Technology Kharagpur, India;2. Indira Gandhi Institute of Development Research, Mumbai, India;1. European University at St. Petersburg, 6/1A Gagarinskaya Str., St. Petersburg, 191187, Russia;2. Department of Economics, Feliciano School of Business, Montclair State University, Montclair, NJ, USA |
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| 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. |
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| Keywords: | Supply chain financial pledge Volatility spillover effect Variable structure copula Granger causality test C52 C59 E44 |
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