Original scientific paper
https://doi.org/10.2478/zireb-2020-0007
A Dynamic Network Comparison Analysis of Crude Oil Trade: Evidence from Eastern Europe and Eurasia
Masoud Shirazi
orcid.org/0000-0002-9226-4729
; Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.
Abdolrasoul Ghasemi
; Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.
Teymour Mohammadi
; Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.
Jurica Šimurina
orcid.org/0000-0002-4806-8894
; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia.
Ali Faridzad
orcid.org/0000-0002-1777-709X
; Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.
Atefeh Taklif
; Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran.
Abstract
This article characterizes a dynamic crude oil trade network of Eastern Europe and Eurasia using the network connectedness measure of Diebold and Yilmaz (2014, 2015) and asymmetric reaction of crude oil bilateral trade flow in response to the positive and negative changes of its key determinants using the nonlinear panel ARDL model. Results indicate the existence of large and time-varying spillovers with a considerable explanatory power among the crude oil trade flow volatility of Iran, Russia, US and Saudi Arabia in Eastern Europe and Eurasia crude oil trade network. The findings also show that crude oil trade flow of Eastern Europe and Eurasia experiences net volatility transmission to Iran, Russia and US respectively, whereas it is a net volatility receiver from Saudi Arabia. Also based on gravity models, the analysis confirms the existence of impact, reaction and adjustment asymmetry through different magnitude among network participants.
Keywords
Crude Oil Trade; Dynamic Network Connectedness Measure; Gravity Model; Nonlinear Panel ARDL Model
Hrčak ID:
238303
URI
Publication date:
27.5.2020.
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