国际能源市场与股票市场的波动溢出效应及驱动因素研究——基于TVP-VAR-DY溢出指数分解的实证研究  

Volatility Spillover Effect and Driving Factors of International Energy Market and Stock Market——Empirical Study on the Decomposition of TVP-VAR-DY Spillover Index

作　　者：田静 叶小芬[2] 闫明 Tian Jing;Ye Xiaofen;Yan Ming(Collaborative Innovation Center for China Economy,Tianjin300071,China;School of Economics,Nankai University,Tianjin300071,China;Zhujiang College,South China Agricultural University,Guangzhou510900,China;School of Management Science and Engineering,Tianjin University of Finance and Economics,Tianjin300222,China)

机构地区：[1]中国特色社会主义经济建设协同创新中心(南开大学经济学院),天津300071 [2]华南农业大学珠江学院商学院,广东广州510900 [3]天津财经大学管理科学与工程学院,天津300222

出　　处：《经济体制改革》2023年第6期142-151,共10页Reform of Economic System

基　　金：国家自然科学基金面上项目“连续时间不完全市场最优投资组合分析和波动率衍生品定价”(72071140);国家自然科学基金面上项目“平均场博弈模型的高效有限元方法”(12271395)。

摘　　要：随着能源金融化程度不断加深,国际能源市场和股票市场之间的联系日益密切。采用TVP-VAR-DY溢出指数分解方法探究国际能源市场和股票市场之间的时变溢出关系,在此基础上进一步探究跨市场溢出效应的主要驱动因素。研究结果表明:国际能源市场与股票市场既存在显著的市场内部溢出效应,也存在显著的跨市场溢出效应,且系统总体溢出水平的动态变化主要由后者驱动;国际能源市场对股票市场的溢出效应弱于股票市场对能源市场的溢出,即国际能源市场为溢出净接收者。国际金融危机、COVID-19等极端风险事件发生时,跨市场波动溢出效应显著增强;地缘政治风险和全球经济政策不确定性是导致跨市场波动溢出的重要因素,且分别在金融市场动荡时期、全球流动性收紧时期表现得更加明显。鉴于此,投资者应高度重视两个市场之间的波动溢出风险,当极端经济事件发生时,监管部门应采取必要的非常规政策措施,减轻溢出效应的不利影响,防范化解系统性金融风险。With the increasing financialization of energy,the link between international energy markets and equity markets has become increasingly close.The TVP-VAR-DY spillover index decomposition method is used to explore the time-varying spillover relationship between international energy markets and stock markets,and on this basis,the main drivers of cross-market spillover effects are further explored.The empirical results show that there are both significant intra-market and cross-market spillovers between the international energy market and the stock market,and the dynamics of the overall spillover level of the system is mainly driven by the latter.The spillover effect of the international energy market on the stock market is weaker than that of the stock market on the energy market,i.e.the international energy market is a net recipient of the spillover.Cross-market volatility spillovers are significantly stronger when extreme risk events such as the international financial crisis and COVID-19 occur.Geopolitical risk,global economic policy uncertainty and stock market volatility are all important factors contributing to cross-market volatility spillovers and are more pronounced during periods of financial market turbulence,periods of tightening global liquidity and stock market booms respectively.In view of this,investors should attach great importance to the risk of volatility spillovers between the two markets and,in the event of extreme economic events,regulators should take the necessary unconventional policy measures to mitigate the adverse effects of spillovers and prevent and address systemic financial risks.

关 键 词：能源市场 股票市场 溢出效应 TVP-VAR-DY 

分 类 号：F831[经济管理—金融学]