基于Copula-GH-CoVaR模型的风险溢出效应研究  

A Study on the Risk Spillover Effect Based on Copula-GH-CoVaR Model

作　　者：张保帅[1] 段俊[1] 田盈[1] ZHANG Baoshuai;DUAN Jun;TIAN Ying(School of Economic and Management, Chongqing Normal University, Chongqing 401331, China)

机构地区：[1]重庆师范大学经济与管理学院

出　　处：《重庆师范大学学报（自然科学版）》2019年第4期81-92,共12页Journal of Chongqing Normal University:Natural Science

基　　金：国家社会科学规划项目(No.18BJY09);重庆教育委员会科技项目(No.KJQN201800513);重庆师范大学校级基金项目(No.16XYY26);教育部人文社科项目(No.18YJC790137);重庆市教育委员会人文项目(No.17SKG037;No.16SKGH049);重庆市社会科学规划项目(No.2018PY74)

摘　　要：【目的】为了更好地刻画金融资产之间的风险溢出效应,提高风险溢出效应测度的精度和有效性。【方法】通过构建广义双曲线分布下的边缘分布模型刻画金融资产的尖峰、厚尾以及偏斜等特征,在优选出Copula函数基础上,搭建起基于Copula-GH-CoVaR的风险溢出效应模型,然后以国际大宗商品综合价格与中国原油市场价格为例进行实证研究。【结果】实证研究结果显示,构建的风险溢出效应模型能有效刻画国际大宗商品市场与中国原油市场风险特征;随着时间的推移,风险溢出效应也在发生变化,并且和重大经济事件的发生相一致;国际大宗商品市场与中国原油市场存在双向正的风险溢出效应,但这一效应是不对称的。【结论】模型的检验表明,基于Copula-GH-CoVaR的风险溢出效应模型从精度和有效性上都达到了要求。[Purposes]By constructing the marginal distribution model under the generalized hyperbolic distribution,the skewness and fatness of financial assets are characterized.[Methods]Based on the preferred Copula function,a linkage risk spillover effect model is established between the international bulk commodity price and the market price of Chinese crude oil,attempting to reveal the risk correlation between the international bulk commodity market and the Chinese crude oil market,providing theoretical support for obtaining the international pricing dominance for China’s crude oil market and adapting to the international market.[Findings]The empirical results show that the model of linkage risk spillover the article constructed can effectively characterize the risk characteristics of the international bulk commodity markets and the Chinese crude oil market.The risk spillover effect which is consistent with the occurrence of major economic events changes over time.International bulk commodity market and the Chinese crude oil market is a two-way positive risk spillover effect,which is asymmetry.[Conclusions]The test of the model shows that the risk spillover effect model based on Copula-GH-CoVaR meets the requirements of accuracy and validity.

关 键 词：COPULA CoVaR 风险溢出 双曲线分布 原油市场 大宗商品市场 

分 类 号：O213[理学—概率论与数理统计] F832.4[理学—数学]