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 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.