Dynamic Risk Spillovers in Non-Ferrous Metal Future Markets During COVID-19:A Frequency Domain Analysis  

作　　者：Guang YANG Xiaoyu LIU Dingxuan ZHANG Yunjie WEI 

机构地区：[1]School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China [2]Center for Research on Intelligent Perception and Computing,Institute of Automation,Chinese Academy of Sciences,Beijing 100190,China [3]Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China

出　　处：《Journal of Systems Science and Information》2024年第1期47-63,共17页系统科学与信息学报（英文）

基　　金：Supported by the National Natural Science Foundation of China(72171223,71801213,71988101)。

摘　　要：During the COVID-19 pandemic,the international financial markets experienced severe turbulence.Under the background of“Made in China 2025”,substantial entity enterprises have a large demand for non-ferrous metals.With the enhancement of financial attributes of non-ferrous metals,it is vital to prevent financial systemic risk contagion in the non-ferrous metal markets.In this article,the ensemble empirical mode decomposition method is used to decompose the prices of eight important non-ferrous metals futures,and then the dynamic DY risk spillover index model is established from the perspectives of long-term and short-term.The risk spillover between non-ferrous metals during the COVID-19 is quantitatively analyzed from different frequency domains.The study finds that in the long run,the risk spillover relationship between non-ferrous metals remained basically stable,and the change of it after the epidemic is slight.In the short run,the risk spillover relationship has different degrees of structural changes after the outbreak of the COVID-19 pandemic.The ensemble empirical mode decomposition method can distinguish the risk spillovers in different cycles,and help to formulate policies for preventing systemic risks in the non-ferrous metal markets according to the different length of terms.

关 键 词：COVID-19 non-ferrous metals ensemble empirical mode decomposition risk spillover index 

分 类 号：F724.5[经济管理—产业经济] F764.2