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    How is China's coke price related with the world oil price? The role of extreme movements

    Access Status
    Fulltext not available
    Authors
    Guo, Y.
    Wen, X.
    Wu, Y.
    Guo, Xiumei
    Date
    2016
    Type
    Journal Article
    
    Metadata
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    Citation
    Guo, Y. and Wen, X. and Wu, Y. and Guo, X. 2016. How is China's coke price related with the world oil price? The role of extreme movements. Economic Modelling. 58: pp. 22-33.
    Source Title
    Economic Modelling
    DOI
    10.1016/j.econmod.2016.05.018
    ISSN
    0264-9993
    School
    Sustainability Policy Institute
    URI
    http://hdl.handle.net/20.500.11937/58492
    Collection
    • Curtin Research Publications
    Abstract

    © 2016.This paper focuses on the relationship between the world oil price and China's coke price, particularly with respect to extreme movements in the world oil price. Based on a daily sample from 2009 to 2015 and the ARJI-GARCH models and copulas, our empirical results show that China's coke price and the world oil price are characterized by GARCH volatility and jump behaviors. Specifically, negative oil price shocks lead to falls in China's coke returns on the following day while positive oil prices have no significant effects. In addition, current coke returns positively respond to the very recent oil price jump intensity, and a time-varying and volatile lower tail dependence is found between the world oil price and China's coke price. Our results are expected to have implications for coke producers and users and policy makers.

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