中国商品期货的尾部风险溢出效应及其驱动因素研究  

A Study of Tail Risk Spillover Effect and its Driving Factors in Commodity Futures of China

作　　者：周莹莹 任硕 卜林 Zhou Yingying;Ren Shuo;Bu Lin(Tianjin University of Finance and Economics Pearl River College,Tianjin 301811,China;School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China)

机构地区：[1]天津财经大学珠江学院,天津301811 [2]天津财经大学金融学院,天津300222

出　　处：《金融发展研究》2023年第10期13-24,共12页Journal Of Financial Development Research

基　　金：国家社科基金青年项目“‘稳增长’与‘防风险’双重目标的理论解构、量化评估与政策应对研究”(23CJY036)。

摘　　要：本文选取2015—2022年的日度观测数据,采用AS-CAViaR模型和动态溢出指数方法考察了我国10种商品期货间的尾部风险溢出效应,并进一步探究影响其溢出水平的因素。分析结果表明,重大风险事件爆发期间,我国商品期货市场尾部系统关联水平明显提升,但不同商品的尾部溢出水平对风险事件的敏感度存在差异。在整个样本期内,化工、软商品和有色期货为系统中极端风险的净输出者,非金属建材和油脂油料则是主要的净接收者,且产业属性相似的商品期货间的尾部关联更为紧密。就驱动因素而言,宏观经济金融环境会对我国商品期货的尾部风险溢出产生显著影响,且美国经济政策不确定性同样为重要的驱动因素,但我国的经济政策不确定性并不存在显著影响。In this paper,the daily observations from 2015 to 2022 are selected,and the AS-CAViaR model and dynamic spillover index method are used to examine the tail risk spillover effect among 10 commodity futures in China,and further explore the factors affecting their spillover levels.The results show that the level of tail systematic correlation in China's commodity futures market increases significantly during the outbreak of major risk events,but the sensitivity of the tail spillover level to risk events varies across commodities.Throughout the sample period,chemical,soft commodity,and nonferrous futures are net exporters of extreme risk in the system,while nonmetallic building materials and fats and oils are the main net receivers,and tail correlations are stronger among commodity futures with similar industry attributes.In terms of drivers,the macroeconomic and financial environment can have a significant impact on the tail risk spillover of our commodity futures,and while U.S.economic policy uncertainty is an equally important driver,there is no significant impact in China's economic policy uncertainty.

关 键 词：商品期货 AS-CAViaR模型 尾部风险溢出 网络关联性 驱动因素 

分 类 号：F830.93[经济管理—金融学]