Dynamic Characteristics of Oil Attributes and Their Market Effects

Abstract

The commercial and financial attributes of oil have significantly changed the evolution characteristics of prices and returns of the international crude oil market. Using monthly data from April 2003 to October 2020, this paper identifies dynamic characteristics of oil’s commercial and financial attributes based on the structural vector autoregressive model (SVAR) and further analyzes their market effects with different attributes. The result shows that there are situations of commercial and financial attributes dominating, and dual attributes co-dominating for oil. Furthermore, their durations account for 51%, 23%, and 26% respectively, of the full sample. Besides, the reactions of crude oil price or return to the different properties of oil are heterogeneous. Specifically, the dual attributes of oil play the most important role in the price evolution of the international crude oil market, which is 80.851. There are significant differences among the impact of different attributes of oil on the evolution of international crude oil market returns, which are 0.009, −0.008, and −0.004, respectively. Then, some relevant recommendations for policy-makers and investors based on the above research conclusions are also put forward.

Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

“…attributes co-domination. Most of the dominant periods of oil financial attribute are before and after the occurrence of special events (Hu et al, 2021;Jia et al, 2021Jia et al, ), mainly including six periods: 2006Jia et al, .9-2007Jia et al, .3, 2007Jia et al, .7-2007Jia et al, .12, 2011Jia et al, .12-2013Jia et al, .4, 2015Jia et al, .5-2015Jia et al, .12, 2019Jia et al, .2-2019.9 and 2020.7-. The dominant period of oil commodity attribute is in the stable period of the crude oil market, which includes four periods: 2003.7-2006.9, 2007.3-2007.6, 2013.4-2015.5 and 2016.1-2019.2.…”