极端状态下国际大宗商品风险溢出研究  

A Study of International Commodity Risk Spillovers Under Extreme Conditions

作　　者：田艳芬[1] 姜智丹 刘洋[2] Tian Yanfen;Jiang Zhidan;Liu Yang(School of Economics,Changchun University,Changchun 130028,Jilin,China;School of Business and Management,Jilin University,Changchun 130012,Jilin,China)

机构地区：[1]长春大学经济学院,吉林长春130028 [2]吉林大学商学与管理学院,吉林长春130012

出　　处：《金融发展研究》2023年第12期80-88,共9页Journal Of Financial Development Research

基　　金：吉林省科技厅创新发展战略研究项目“后疫情时代吉林省外贸企业的汇率风险防范对策研究”(20210601036FG)。

摘　　要：地缘冲突、重大灾害等极端风险事件可能引发国际大宗商品市场动荡,大宗商品价格波动风险将进一步传导至金融市场与宏观经济体系。讨论极端状态下大宗商品价格变动特征,厘清大宗商品价格波动风险的溢出水平及方向,可为我国大宗商品市场运行企稳、应对市场冲击、及时阻断风险传染路径提供参考。本文基于分位数向量自回归模型,通过不同分位点方向性溢出水平的测度对地缘冲突后国际大宗商品市场间的风险传递与溢出关联展开探讨。结果表明,大宗商品价格波动的总溢出水平呈U形结构,溢出强度与冲击规模呈正相关;在极端市场状态下大宗商品市场间的溢入、溢出水平显著提升,风险溢出呈现出非对称与异质性特征,能源商品市场占据大宗商品市场风险溢出的主导地位。Extreme risk events,such as geopolitical conflicts and major disasters,may trigger turbulence in international commodity markets,and the risk of commodity price volatility will be further transmitted to financial markets and the macroeconomic system.Discussing the characteristics of commodity price changes in extreme states and clarifying the spillover level and direction of commodity price volatility risk can provide reference for stabilizing the operation of China's commodity market,coping with market shocks,and blocking the risk contagion path in a timely manner.Based on quantile vector autoregressive model,this paper explores the risk transfer and spillover linkages among international commodity markets after geopolitical conflicts by measuring the level of directional spillovers at different quantile points.The results show that the total spillover level of commodity price volatility has a U-shaped structure,and the spillover intensity is positively correlated with the size of the shock;the level of spillover into and out of the commodity market between commodity markets is significantly higher in extreme market conditions,and the risk spillover is characterized by asymmetry and heterogeneity,with the energy commodity market occupying the dominant position of the risk spillover in the commodity market.

关 键 词：极端状态 大宗商品 风险溢出 分位数向量自回归模型 

分 类 号：F830[经济管理—金融学]