Dynamic spillover effects between EU economic sanctions against Russia, oil prices, and share prices of energy companies in third countries: evidence from China and the USA.

Publisher: Springer Country of Publication: Germany NLM ID: 9441769 Publication Model: Print-Electronic Cited Medium: Internet ISSN: 1614-7499 (Electronic) Linking ISSN: 09441344 NLM ISO Abbreviation: Environ Sci Pollut Res Int Subsets: MEDLINE

Publication: <2013->: Berlin : Springer
Original Publication: Landsberg, Germany : Ecomed

Economics* ; Policy* ; Politics*; China ; European Union ; Internationality ; Russia ; United States

This study establishes a comprehensive suite of sanction indices and employs the time-varying vector autoregressive dynamic spillover index (TVP-VAR-DY) model, to examine the spillover effects of EU economic sanctions against Russia on oil prices and share prices of third-country energy companies, as well as takes China and the USA as examples for analysis. The findings indicate that sanctions targeting the energy sector are the primary drivers of volatility in oil prices and energy company stock prices. The impact on Chinese energy firms' stock prices is more pronounced, while the effects on their American counterparts are more enduring. The indirect impact of EU sanctions on Russia on China is greater than that of the USA. Both direct and indirect sanctions exhibit comparable spillover effects on oil and stock prices. Direct sanctions have better explanatory power for stock price fluctuations, while indirect sanctions have better explanatory power for oil price fluctuations.
(© 2024. The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.)

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2021BS07001 Natural Science Foundation of Inner Mongolia Autonomous Region of China; 71804187 National Natural Science Foundation of China; 72263024 National Natural Science Foundation of China; NCYWR22012 Basic Scientific Research Business Fee Project of Inner Mongolia Provincial Universities; SZ23006 Key Laboratory Project of Economic Data Analysis and Mining in Inner Mongolia

Keywords: Economic sanctions; Oil price; Share prices; Spillover effect; Third countries

Date Created: 20240215 Date Completed: 20240313 Latest Revision: 20240502

20240502

10.1007/s11356-024-32250-z

38358622