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Open AccessArticle

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

1
College of Finance and Statistics, Hunan University, Changsha 410006, China
2
Guangzhou International Institute of Finance and Guangzhou University, Guangzhou 510405, China
*
Authors to whom correspondence should be addressed.
Energies 2019, 12(11), 2226; https://doi.org/10.3390/en12112226
Received: 5 May 2019 / Revised: 6 June 2019 / Accepted: 8 June 2019 / Published: 11 June 2019
(This article belongs to the Special Issue Energy Markets and Economics Ⅱ)
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Abstract

Due to the crucial implication of oil risks for economic growth and policy making, the aim of this paper is to explore the heterogeneous interconnections of supply or demand in oil risks over time horizons and different countries. Specifically, we first examine the correlation of supply or demand in oil return risks and show the relationships in different countries based on wavelet coherence. Furthermore, we explore the time-varying interconnections between supply- or demand-side and oil return risks, as well as oil producers and demand countries. The empirical results show that the correlation between supply and oil return risks is relatively stable, whereas the linkage between demand and oil return risks shows greater volatility due to the impact of specific events. Further study indicates that there are heterogeneous interconnections between supply- or demand-side and oil return risks over sample periods. Specifically, the sign of response could be divided into four phases, i.e., 1997–2002, 2002–2010, 2010–2013 and 2014–2018. In addition, the interconnections of the demand side could be divided into three phases due to the sign of it. What is more, the dynamic interconnections of oil producers’ or countries’ demands behave quite heterogeneously in different countries. Thus policymakers should focus on the coordination level and space capacity in the global crude oil market. View Full-Text
Keywords: interconnection; wavelet coherence; supply and demand; oil risks; heterogeneity interconnection; wavelet coherence; supply and demand; oil risks; heterogeneity
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Liao, G.; Li, Z.; Du, Z.; Liu, Y. The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks. Energies 2019, 12, 2226.

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