China's domestic oil production has lagged the growth in domestic oil consumption since the beginning of the 21st century,leading to a growing reliance on imports.In response,the Chinese government has introduced ...China's domestic oil production has lagged the growth in domestic oil consumption since the beginning of the 21st century,leading to a growing reliance on imports.In response,the Chinese government has introduced a number of policies,including import license constraints,to support domestic suppliers.In an effort to measure the economic impact of these policies we develop a short-run equilibrium model of China's wholesale oil and gas market at the provincial scale.We construct counterfactual scenarios that suggest that relaxing policies that prioritize domestic production in 2016,when the average price of Chinese oil imports was US$42 per barrel(bbl),could have increased China's import demand by 0.29 million barrels per day(MMbbl/d).This results in a substitution of 9%of China’s domestic production in 2016,and a reduction of US$2.8 billion in crude supply costs including transportation as the imported oil has more direct access to the country’s pipeline network,compared to the displaced domestic production.In addition,rising import prices since mid-2017 may provide a window of opportunity for Chinese policymakers to proceed with further deregulation of the domestic oil sector,as the short-term impact on domestic producers is reduced.展开更多
A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predi...A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predictive ability of the jump component is persistent when forecasting the oil futures market volatility.Specifically,we propose a strategy that allows the predictive model to switch between a benchmark model without jumps and an alternative model with a jump component according to their recent past forecasting performance.The volatility data are based on the intraday prices of West Texas Intermediate.Our results indicate that this simple strategy significantly outperforms the individual models and a series of competing strategies such as forecast combinations and shrinkage methods.A mean–variance investor who targets a constant Sharpe ratio can realize the highest economic gains using the MoJ-based volatility forecasts.Our findings survive a wide variety of robustness tests,including different jump measures,alternative volatility measures,various financial markets,and extensive model specifications.展开更多
Chinese"red"art,which refer to artworks depicting revolutionary subjects,have seen excellent performance in the auction market since the beginning of this year.In particular,the celebration of the60th annive...Chinese"red"art,which refer to artworks depicting revolutionary subjects,have seen excellent performance in the auction market since the beginning of this year.In particular,the celebration of the60th anniversary of the People’s Republic of China gave a new push to its price rise.展开更多
This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework.In-sample results indicate that oil futures intraday information is helpful to in...This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework.In-sample results indicate that oil futures intraday information is helpful to increase the predictability.Moreover,compared to the benchmark model,the proposed models improve their predictive ability with the help of oil futures realized volatility.In particular,the multivariate HAR model outperforms the univariate model.Accordingly,considering the contemporaneous connection is useful to predict the US stock market volatility.Furthermore,these findings are consistent across a variety of robust checks.展开更多
Energy ties constitute the foundation of the relations between China and West-Asian countries.Therefore changes occurring in the international energy markets present a new perspective for studying these relations.This...Energy ties constitute the foundation of the relations between China and West-Asian countries.Therefore changes occurring in the international energy markets present a new perspective for studying these relations.This paper formulates two new concepts,namely the regionalization of the international oil market and the de-regionalization of the international gas market,and analyzes their impact on the relations between China and the major oil and gas exporting countries in West Asia.The conclusion underlines that these two structural changes in the international energy markets mean that at the core interest level,West-Asian oil and gas exporting countries are moving away from the West and moving closer to China.Therefore,they can inject positive energy for the development of relations between China and West-Asian oil and gas exporting countries by promoting their mutual trade and economic cooperation and by making China play a greater role in ensuring peace and stability in the Middle East.展开更多
文摘China's domestic oil production has lagged the growth in domestic oil consumption since the beginning of the 21st century,leading to a growing reliance on imports.In response,the Chinese government has introduced a number of policies,including import license constraints,to support domestic suppliers.In an effort to measure the economic impact of these policies we develop a short-run equilibrium model of China's wholesale oil and gas market at the provincial scale.We construct counterfactual scenarios that suggest that relaxing policies that prioritize domestic production in 2016,when the average price of Chinese oil imports was US$42 per barrel(bbl),could have increased China's import demand by 0.29 million barrels per day(MMbbl/d).This results in a substitution of 9%of China’s domestic production in 2016,and a reduction of US$2.8 billion in crude supply costs including transportation as the imported oil has more direct access to the country’s pipeline network,compared to the displaced domestic production.In addition,rising import prices since mid-2017 may provide a window of opportunity for Chinese policymakers to proceed with further deregulation of the domestic oil sector,as the short-term impact on domestic producers is reduced.
基金Yaojie Zhang acknowledges the financial support from the National Natural Science Foundation of China(72001110)the Fundamental Research Funds for the Central Universities(30919013232)+4 种基金the Research Fund for Young Teachers of School of Economics and Management,NJUST(JGQN2009)Yudong Wang acknowledges the financial support from the National Natural Science Foundation of China(72071114)Feng Ma acknowledges the support from the National Natural Science Foundation of China(71701170,72071162)Yu Wei acknowledges the support from the National Natural Science Foundation of China(71671145,71971191)Science and technology innovation team of Yunnan provincial.
文摘A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predictive ability of the jump component is persistent when forecasting the oil futures market volatility.Specifically,we propose a strategy that allows the predictive model to switch between a benchmark model without jumps and an alternative model with a jump component according to their recent past forecasting performance.The volatility data are based on the intraday prices of West Texas Intermediate.Our results indicate that this simple strategy significantly outperforms the individual models and a series of competing strategies such as forecast combinations and shrinkage methods.A mean–variance investor who targets a constant Sharpe ratio can realize the highest economic gains using the MoJ-based volatility forecasts.Our findings survive a wide variety of robustness tests,including different jump measures,alternative volatility measures,various financial markets,and extensive model specifications.
文摘Chinese"red"art,which refer to artworks depicting revolutionary subjects,have seen excellent performance in the auction market since the beginning of this year.In particular,the celebration of the60th anniversary of the People’s Republic of China gave a new push to its price rise.
基金supported by the Natural Science Foundation of China[71701170,71901041,71971191,72071162]
文摘This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework.In-sample results indicate that oil futures intraday information is helpful to increase the predictability.Moreover,compared to the benchmark model,the proposed models improve their predictive ability with the help of oil futures realized volatility.In particular,the multivariate HAR model outperforms the univariate model.Accordingly,considering the contemporaneous connection is useful to predict the US stock market volatility.Furthermore,these findings are consistent across a variety of robust checks.
文摘Energy ties constitute the foundation of the relations between China and West-Asian countries.Therefore changes occurring in the international energy markets present a new perspective for studying these relations.This paper formulates two new concepts,namely the regionalization of the international oil market and the de-regionalization of the international gas market,and analyzes their impact on the relations between China and the major oil and gas exporting countries in West Asia.The conclusion underlines that these two structural changes in the international energy markets mean that at the core interest level,West-Asian oil and gas exporting countries are moving away from the West and moving closer to China.Therefore,they can inject positive energy for the development of relations between China and West-Asian oil and gas exporting countries by promoting their mutual trade and economic cooperation and by making China play a greater role in ensuring peace and stability in the Middle East.
