Understanding the linkage-dependence structure between oil and gas markets: A new perspective

doi:10.1016/j.energy.2022.124755

	Understanding the linkage-dependence structure between oil and gas markets: A new perspective
	Wei, Zhaohao 1; Chai, Jian 2; Dong, Jichang 1; Lu, Quanying 3
刊名	ENERGY
	2022-10-15
卷号	257 页码:18
关键词	Oil and gas markets Characteristic evolution Intrinsic mechanism quantification Non-parametric test Multivariate GARCH-Copula CEEMDAN-JADE-RT
ISSN号	0360-5442
DOI	10.1016/j.energy.2022.124755
英文摘要	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.
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
语种	英语
出版者	PERGAMON-ELSEVIER SCIENCE LTD
WOS记录号	WOS:000838672700001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/61102]
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.