Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets
This study examines whether the dynamic relationship between the Chinese and international fossil markets changed during the 2008 financial crisis and is changing during the COVID-19 pandemic. The impact of the crises are analyzed by including the periods affected by the crises as dummy variables in...
Main Authors: | , |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-05-01
|
Series: | Journal of Risk and Financial Management |
Subjects: | |
Online Access: | https://www.mdpi.com/1911-8074/14/5/207 |
id |
doaj-34553505654f4575baf9c61218a921ae |
---|---|
record_format |
Article |
spelling |
doaj-34553505654f4575baf9c61218a921ae2021-05-31T23:14:24ZengMDPI AGJournal of Risk and Financial Management1911-80661911-80742021-05-011420720710.3390/jrfm14050207Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel MarketsChaofeng Tang0Kentaka Aruga1Graduate School of Humanities and Social Sciences, Saitama University, 255 Shimo-Okubo, Sakura-ku, Saitama 338-8570, JapanGraduate School of Humanities and Social Sciences, Saitama University, 255 Shimo-Okubo, Sakura-ku, Saitama 338-8570, JapanThis study examines whether the dynamic relationship between the Chinese and international fossil markets changed during the 2008 financial crisis and is changing during the COVID-19 pandemic. The impact of the crises are analyzed by including the periods affected by the crises as dummy variables in the VAR and VECM models. Monthly data for the 2000:1–2020:12 period were used in the study. Our results suggest that the effects of the COVID-19 on the linkages between the Chinese and international fossil fuel markets are not as evident compared to the 2008 financial crisis. The study identifies that the effects of the 2008 financial crisis and the COVID-19 pandemic on the linkages are mostly driven by the impacts of these crises on the Chinese fossil fuel markets. The study indicates the importance of controlling the risk involved in the Chinese fossil fuel market when events like the 2008 financial crisis and the COVID-19 pandemic are changing the linkages between the Chinese and international fossil fuel markets.https://www.mdpi.com/1911-8074/14/5/207Chinese fossil fuelCOVID-19 pandemic2008 financial crisisnatural gas |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Chaofeng Tang Kentaka Aruga |
spellingShingle |
Chaofeng Tang Kentaka Aruga Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets Journal of Risk and Financial Management Chinese fossil fuel COVID-19 pandemic 2008 financial crisis natural gas |
author_facet |
Chaofeng Tang Kentaka Aruga |
author_sort |
Chaofeng Tang |
title |
Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets |
title_short |
Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets |
title_full |
Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets |
title_fullStr |
Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets |
title_full_unstemmed |
Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets |
title_sort |
effects of the 2008 financial crisis and covid-19 pandemic on the dynamic relationship between the chinese and international fossil fuel markets |
publisher |
MDPI AG |
series |
Journal of Risk and Financial Management |
issn |
1911-8066 1911-8074 |
publishDate |
2021-05-01 |
description |
This study examines whether the dynamic relationship between the Chinese and international fossil markets changed during the 2008 financial crisis and is changing during the COVID-19 pandemic. The impact of the crises are analyzed by including the periods affected by the crises as dummy variables in the VAR and VECM models. Monthly data for the 2000:1–2020:12 period were used in the study. Our results suggest that the effects of the COVID-19 on the linkages between the Chinese and international fossil fuel markets are not as evident compared to the 2008 financial crisis. The study identifies that the effects of the 2008 financial crisis and the COVID-19 pandemic on the linkages are mostly driven by the impacts of these crises on the Chinese fossil fuel markets. The study indicates the importance of controlling the risk involved in the Chinese fossil fuel market when events like the 2008 financial crisis and the COVID-19 pandemic are changing the linkages between the Chinese and international fossil fuel markets. |
topic |
Chinese fossil fuel COVID-19 pandemic 2008 financial crisis natural gas |
url |
https://www.mdpi.com/1911-8074/14/5/207 |
work_keys_str_mv |
AT chaofengtang effectsofthe2008financialcrisisandcovid19pandemiconthedynamicrelationshipbetweenthechineseandinternationalfossilfuelmarkets AT kentakaaruga effectsofthe2008financialcrisisandcovid19pandemiconthedynamicrelationshipbetweenthechineseandinternationalfossilfuelmarkets |
_version_ |
1721418045044293632 |