我国能源期货市场极端风险形成机制——基于金融化视角的分析  

Formation Mechanism of the Extreme Risk in Energy Future Market:Research from the Perspective of Financialization

作　　者：朱波[1] 牛锋[1] 邵华明[2] 

机构地区：[1]西南财经大学金融学院 [2]西南财经大学科研处

出　　处：《财经科学》2016年第4期31-42,共12页Finance & Economics

基　　金：国家自然科学基金青年项目"宏观审慎管理时代金融体系系统性风险研究"(项目编号:71103146);西南财经大学"中央高校基本科研业务费专项资金"2015年年度培育项目"基于银行同业拆借市场网络关联结构的系统性风险研究"(项目编号:JBK150928);博士生课题"基于EVT-Copula的我国金融机构系统性风险研究"(JBK1507031)

摘　　要：本文使用极值理论确定能源期货标准化收益率的尾部阈值,基于投机行为和市场联动效应视角考察了金融化对我国能源期货市场极端风险的影响。结果表明,国际原油价格的正(负)向冲击会导致国内能源期货价格极端上涨(下跌)的概率增加;在市场剧烈波动时期,国内金融市场会对能源期货市场左尾极端风险产生影响,而国际黄金价格冲击则会导致其右尾出现极端变动;投机行为会增加能源期货市场价格极端上涨的概率,但对价格极端下跌的影响却不显著。我国应进一步完善能源期货品种结构,加强对过度投机行为的监管,切实维护市场的稳定。This paper selects the tail thresholds of the standardized rate of return based on the extreme value theory. Further, we investigate the effect of financialization on the extreme risk in Chinese energy market from the perspective of speculation and market co - movement. Results show that the positive （negative） shocks of international crude oil increase the probability of the extreme rise （drop） in energy futures prices significantly. In addition, during the most volatile period, shocks from the domestic financial market and international gold market have impacts on the extreme risk of energy future market at the left and right tail respectively. The speculation in energy market can increase the probability of extreme rise in energy price. However, it has no significant effect on the probability of extreme price drop. To earnestly maintain the stability of energy market, China needs to further improve the variety structure of energy futures and strengthen the regulation of speculation.

关 键 词：能源期货市场 极端风险 形成机制 

分 类 号：F764.1[经济管理—产业经济] F724.5