Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China
Based on the theoretical framework of Multivariate Stochastic Volatility (MSV), this paper combines the Dynamic Generalized Correlation (DGC) model with the t-distribution, establishes the DGC-t-MSV model, and employs the Markov Chain Monte Carlo (MCMC) algorithm based on the Bayesian principle for...
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2025-06-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/18/12/3204 |
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| author | Lei Wang Yu Sun Jining Wang |
| author_facet | Lei Wang Yu Sun Jining Wang |
| author_sort | Lei Wang |
| collection | DOAJ |
| description | Based on the theoretical framework of Multivariate Stochastic Volatility (MSV), this paper combines the Dynamic Generalized Correlation (DGC) model with the t-distribution, establishes the DGC-t-MSV model, and employs the Markov Chain Monte Carlo (MCMC) algorithm based on the Bayesian principle for efficient estimation to investigate the price volatility spillover effects in China’s energy supply chains. The results of this study indicate the following: (1) The upstream crude oil spot price has a positive spillover effect on the midstream freight price. The downstream diesel market price, 92 gasoline market price, and 95 gasoline market price all exert positive volatility spillovers on the midstream crude oil freight price. (2) The volatility spillover effect between the upstream power coal price and the midstream coal freight price exhibits unidirectionality, and the volatility is transmitted from the power coal price to the coal freight price. (3) The upstream natural gas price and the midstream liquefied natural gas market price display asymmetric characteristics. Among them, the upstream natural gas price has a unidirectional and more pronounced positive volatility spillover effect on the midstream liquefied natural gas market price. |
| format | Article |
| id | doaj-art-28340f652396439587ed40fa467ae22a |
| institution | Kabale University |
| issn | 1996-1073 |
| language | English |
| publishDate | 2025-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj-art-28340f652396439587ed40fa467ae22a2025-08-20T03:24:37ZengMDPI AGEnergies1996-10732025-06-011812320410.3390/en18123204Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from ChinaLei Wang0Yu Sun1Jining Wang2School of Economics and Management, Nanjing Tech University, Nanjing 211816, ChinaSchool of Economics and Management, Nanjing Tech University, Nanjing 211816, ChinaSchool of Economics and Management, Nanjing Tech University, Nanjing 211816, ChinaBased on the theoretical framework of Multivariate Stochastic Volatility (MSV), this paper combines the Dynamic Generalized Correlation (DGC) model with the t-distribution, establishes the DGC-t-MSV model, and employs the Markov Chain Monte Carlo (MCMC) algorithm based on the Bayesian principle for efficient estimation to investigate the price volatility spillover effects in China’s energy supply chains. The results of this study indicate the following: (1) The upstream crude oil spot price has a positive spillover effect on the midstream freight price. The downstream diesel market price, 92 gasoline market price, and 95 gasoline market price all exert positive volatility spillovers on the midstream crude oil freight price. (2) The volatility spillover effect between the upstream power coal price and the midstream coal freight price exhibits unidirectionality, and the volatility is transmitted from the power coal price to the coal freight price. (3) The upstream natural gas price and the midstream liquefied natural gas market price display asymmetric characteristics. Among them, the upstream natural gas price has a unidirectional and more pronounced positive volatility spillover effect on the midstream liquefied natural gas market price.https://www.mdpi.com/1996-1073/18/12/3204energy supply chainsenergy pricevolatility spillover effectDGC-t-MSV model |
| spellingShingle | Lei Wang Yu Sun Jining Wang Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China Energies energy supply chains energy price volatility spillover effect DGC-t-MSV model |
| title | Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China |
| title_full | Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China |
| title_fullStr | Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China |
| title_full_unstemmed | Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China |
| title_short | Price Volatility Spillovers in Energy Supply Chains: Empirical Evidence from China |
| title_sort | price volatility spillovers in energy supply chains empirical evidence from china |
| topic | energy supply chains energy price volatility spillover effect DGC-t-MSV model |
| url | https://www.mdpi.com/1996-1073/18/12/3204 |
| work_keys_str_mv | AT leiwang pricevolatilityspilloversinenergysupplychainsempiricalevidencefromchina AT yusun pricevolatilityspilloversinenergysupplychainsempiricalevidencefromchina AT jiningwang pricevolatilityspilloversinenergysupplychainsempiricalevidencefromchina |